tailieunhanh - Lecture Financial modeling - Topic 2: Estimating asset risk
Expected asset risk measures are needed to construct optimal portfolios, plan for retirement, value equities and options, and forecast corporate cash flow distributions. In this lecture, students will: Compute asset return variance and standard deviation, scale standard deviations across time, compute moving average volatility, compute volatility using EWMA models, compute implied volatility using the black-scholes option pricing model. | Financial Modeling Topic 2 Estimating Asset Risk. L. Gattis 1 References Financial Modeling 3rd Edition by Simon Benninga - Ch. 8 Portfolio Models - Ch. 11 Estimating Beta - Ch. 35 Some Excel Hints - Ch. 36 User Defined Functions with VBA 2 Learning Objectives Expected asset risk measures are needed to construct optimal portfolios plan for retirement value equities and options and forecast corporate cash flow distributions In this lecture students will - Compute asset return variance and standard deviation - Scale standard deviations across time - Compute moving average volatility 3 _ J _ _ _ I _ __ 1 1 A JR A A -I _ I
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