**概要**

This eCourse consists of two modules on quantitative trading. Module 1 describes how financial trading businesses measure and manage risks while making decisions to generate a profit.

Module 2 looks at the key concepts and issues associated with constructing a portfolio of assets, particularly the crucial role of MPT and correlation among portfolio assets.

**宗旨**

On completion of this course, you will be able to:

- Define the concepts of risk and risk management

- Recognise the importance of defining what exactly a “risk number” is measuring

- Calculate risk using techniques such as value at risk (VaR) and expected shortfall (ES), and apply these measurement techniques to a multi-asset portfolio

- Identify some common uses of risk numbers and the issues/considerations associated with using such numbers for risk management purposes

- Recognise the importance of risk in portfolio construction

- Recall the development of modern portfolio theory (MPT)

- Recognise how the Sharpe ratio measures return per unit of risk taken

- List the key assumptions behind MPT

- Identify the main constraints in portfolio construction and how optimization can be used

- Recognize the challenges in portfolio construction and the cost of getting it wrong

- List other key issues and concepts associated with portfolio management

**內容**

Module 1: Quantitative Trading – Risk Management

Topic 1: Risk & Risk Management in Trading Businesses

Topic 2: Risk Numbers

Topic 3: Risk Calculations

Topic 4: Portfolio Risk

Topic 5: Using Risk Numbers

Module 2: Quantitative Trading – Portfolio Construction

Topic 1: Risk & Portfolio Construction

Topic 2: Modern Portfolio Theory (MPT)

Topic 3: Sharpe Ratio

Topic 4: MPT Assumptions

Topic 5: Portfolio Constraints

Topic 6: Portfolio Construction Challenges

Topic 7: Other Portfolio Management Concepts

**詳情**

**HKD460**

非會員:

**HKD665**

機構會員員工:

**HKD460**