| 7 |
Mon Feb 9 |
Kick-off |
Complete all technical prerequisites |
0 |
|
Thu Feb 12 |
Asset prices |
|
|
| 8 |
Mon Feb 16 |
Optimal portfolio choice |
Chapter 3 in R for Data Science (data transformation), Sections 2.1 and 3.1 of Portfolio Choice Problems |
1 |
|
Thu Feb 19 |
Optimal portfolio choice |
Introduction and Section 1 of Risk Reduction in Large Portfolios |
2 |
| 9 |
Thu Feb 26 |
Multifactor models |
Chapters 7 and 8 of Empirical Asset Pricing: The Cross-Section of Stock Returns |
3, 4 |
|
Fri Feb 27 |
MA 1 released |
|
Quarto |
| 10 |
Mon Mar 2 |
Reproducibility crisis |
FT article: “The hidden ‘replication crisis’ of finance” |
5 |
|
Thu Mar 5 |
Reproducibility crisis |
|
|
|
Sat Mar 7 |
MA 1 deadline |
|
|
| 11 |
Thu Mar 12 |
ML in Finance |
|
|
| 12 |
Mon Mar 16 |
ML in Finance |
Empirical asset pricing via Machine Learning |
6 |
|
Thu Mar 19 |
ML in Finance |
|
7 |
| 13 |
Thu Mar 26 |
ML in Finance |
|
8 |
|
|
Easter break (W14) |
|
|
|
Fri Apr 3 |
MA 2 released |
|
|
| 15 |
Tue Apr 7 |
Volatility estimation |
|
9 |
|
Thu Apr 9 |
Volatility estimation |
|
|
|
Sun Apr 12 |
MA 2 deadline (8pm) |
|
|
| 16 |
Mon Apr 13 |
Volatility estimation |
|
|
| 17 |
Thu Apr 23 |
Portfolio optimization |
|
10 |
| 18 |
Mon Apr 27 |
Parametric Portfolio Choice |
|
|
|
Thu Apr 30 |
High-frequency econometrics |
|
|
|
Fri May 1 |
MA 3 released |
|
|
| 19 |
Thu May 7 |
Guest lecture: Cilie Feldager Chief GenAI Model Evaluation Expert (Danske Bank) |
|
|
|
Sun May 10 |
MA 3 deadline (8pm) |
|
|
| 20 |
Mon May 11 |
High-frequency econometrics |
|
|
| 21 |
Tue May 19 |
High-frequency econometrics |
|
|
|
Thu May 21 |
Q&A |
|
|