Statistics for Finance

Catalog description

This course will cover probability and statistics from a Bayesian perspective, with applications to finance. Topics will include joint marginal and conditional probability; discrete and continuous random variables; Bayesian inferences for means and proportions compared with the corresponding frequentist ones; simple linear regression model analyzed in a Bayesian manner; and a Bayesian approach to portfolio optimization, including Black-Litterman. A portion of the course will be devoted to teaching a statistical package, most likely R or S-Plus.