Introduction to computational finance 2

Transcript

1. Introduction to Computational Finance II Percy Lam
2. QSTK - QuantSoftware ToolKit - Python based framework for portfolio construction and management
3. QSTK Major components: • Data: A data access package that enables fast reading of historical data (qstkutil. DataAccess). • Processing tools: Uses pandas, a Python package designed for time series evaluation of equity data. • Portfolio optimization: Using the CVXOPT library.
4. QSTK • Event studies: An efficient event analyzer, Event_Profiler. • Simulation: A simple backtester, quicksim, that includes transaction cost modeling.
5. Portfolio Optimization Modern Portfolio Theory (MPT) • first introduced in 1952 by Harry Markowitz • an important advance in math modeling of finance • maximize porfolio expected return for a given amount of portfolio risk
6. Porfolio Optimization
7. Portfolio Optimization Concept • assets with higher expected return are riskier • there exists a highest expected return for each given amount risk • diversification should generate higher expected returns than individual assets
8. Efficient Frontier