Quantitative Finance and Economics Lecture 6: Constant Expected Return Model and Estimation

This lecture of quantitative finance and economics covers constant expected return model and estimation.

1  Lecture Slides 

Download PDF slides

R CER Model Examples

cerExample.csv

R codes: cerModelExamples.r

 

2  Introduction (11:28)

 

3  Constant Expected Return Model (14:07)

 

4  Simulating Data (12:14)

 

5  Random Walk Model (5:38)

 

6  Estimateing Parameters of CER (18:59)

 

 

7  Bias and Precision (13:02)

 

8  Mean Squared Error (1:22)

 

9  Standard Error (22:12)

 

10  Asymptotic Properties of Estimators (14:11)

 

11  Confidence Intervals (12:47)

 

12  Monte Carlo Simulation (15:27)

 

13  Value at Risk in CER Model (7:36)

 

 

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