Become an expert in the economics of quantitative finance with an emphasis on financial markets and asset pricing models. This course is designed to introduce you to the key principles of the modern portfolio theory approach to investing and its implications on security selection and asset pricing. It also provides you with the skills required for security selection, portfolio construction, and portfolio performance measurement. During the course, you will have the opportunity to create your own portfolio of assets based on a range of advanced financial econometrics techniques for the analysis and modelling of time series data. You will apply discussed techniques for analysis, modelling, and forecasting key characteristics of financial data using STATA software.
Online lectures will be delivered synchronized as live talk with professors and groupmates. Records of classes will be available on SPbPU platform for 1 month after the course end.