16. Portfolio Management

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
Instructor: Jake Xia

This lecture focuses on portfolio management, including portfolio construction, portfolio theory, risk parity portfolios, and their limitations.

License: Creative Commons BY-NC-SA

[DoneDifferently]

Clear and informative lecture. Disclaimer: No student debt was created during the watching of this video. Thanks MIT

[EnglishLerner]

03:05 Starts
05:37 Steps
11:05 Instruments
13:54 Portfolio goals
19:16 Portfolio goals | What is risk?
21:11 Expected return
22:33 Expected return | Instruments
26:33 Expected return | Efficient frontier
27:54 Expected return | Efficient frontier | How to find it?
28:53 Expected return | Special cases with two assets
29:49 Expected return | Special cases with two assets | Case 1
31:40 Expected return | Special cases with two assets | Case 2
34:28 Expected return | Special cases with two assets | Case 3
34:54 Expected return | Special cases with two assets | Case 4
35:53 Expected return | Special cases with two assets | Case 5
39:50 Expected return | Special cases with two assets | Case 6
40:44 Expected return | Special cases with two assets | Case 7
41:22 Expected return | Special cases with three assets
43:09 Expected return | Beta and sharpe ratio
46:59 Portfolio allocation
51:26 Portfolio allocation | Diversification
56:22 Risk parity
01:00:15 Risk parity | Sharpe ratio

[omgyeaXD]

Pretty decent world we live in right now. I can learn all this for free.

[PullingEnterprises]

27:50 Efficient Frontier
Kelly's Formula 45:30
Risk Parity: 59:30
1:16:00 forecasting by looking at only historical data is like driving and only looking in the rearview mirror

[concepciongonzalez]

I like Dr. Jake Xia. He explains so well and with a peaceful attitude. He looks genuine interest in the learning of the students.

[nelsoncheetube]

Sincere appreciation to MIT for Sharing this lecture. I have never been to university but now I am able to learn from the greatest minds from your channel. Thank you 🙏

[jcpettit]

I'd have loved to study under this professor. He asks his students what kind of approach they'd like and then adjusts his lectures accordingly.

[ryzarabino]

1. Understand your goals
17:02 University Endowment
17:33 Pension Fund - What is timeframe when workers retire and need to draw from the pension?

2. Be clear about how much risk you can take
19:20 What is risk?
26:08 Risk-reward investment map
27:50 Efficient Frontier

3. Building a Model
47:45 Plotting portfolio allocation
50:34 Risk Parity

[SuperGGLOL]

For some reason, i find it satisfying when he draws the graphs. he is a good graph drawer

[NickByers-ogcx]

Ahh yes of course, diversify your GameStop with both stocks as well as options 🤔

[maximtsai]

Rest in peace that one guy who invested everything into Yahoo.

[MrAntonNelson]

He is such a cheerful person! He just can't help smiling all the time can he?))))

[chesstictacs]

The dude has degrees in electrical engineering and computer science, and on top of all these, he knows the finance. Just wow.

[valeriybelozerov]

I appreciate you making complex trading concepts clear and accessible to everyone. Thanks for your valuable work!

[mikek]

My portfolio:
100 SPY PUTS - expiry this friday - strike price $200

[matthewbryant]

This is not meant to be insulting... but this guy's voice is so calming, he could distribute these lectures and brand them as "Economy Lessons to put your restless mind at ease". This is like a sleep aid... it's awesome. I will be a master of Modern Portfolio theory in a decade.

[arunanzogbia]

Thank you very much MIT for sharing this knowledge. Jake Xia, excellent teaching.

[royreyes]

this is how u stay alive across markets... great video with replay value. should be watched during this greater bull run as the most dangerous levels everyone is blind....

[farshadnoravesh]

The professor is very smart and nice because he wants to show that causality is missing in classical portfolio optimization and even in risk parity paradigm. beautiful video.

[SFW]

Thank you so much for providing this invaluable value to aspiring minds. This is the greatest service to humanity. The Professor is such an excellent teacher and it is amazing that we can listen to him from any part of the world. Many thanks, MIT and Prof.