Portfolio management using Mean Variance Analysis is studied using real time series data.
Applicant is expected to know how to do numerical simulation and has some background in statistical physics.
Non-numerical analysis of the Markowitz theory of portfolio management
Data analysis and analytical calculation using some mathematics in statistics will be
1. Basic theory of Markowitz is covered
2. Methods in Statistical Physics and Stochastic dynamics will be used in portfolio management theory for further development in Mean Variance Analysis
3. Student will learn how to perform time series analysis using real stock data from Reuters.