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FINM 36700: Portfolio Theory and Risk Management

Autumn 2021

This is the repo for all code corresponding to the course, published by the instructor or teaching assistants.

solutions

  • Homework Solutions, created by the Teaching Assistants
  • Hopmework Discussions, created by the Instructor

data

  • Data sets supporting the Solutions folder code.
  • The data sets are small enough that it is not a problem to track them in git

build_data

  • This folder provides notebooks used to build all the homework data sets.
  • They are provided for those interested in how to get and organize data directly.
  • At some point in the future, the data folder may be removed, requiring users to generate the data files from these notebooks.

cmds

  • Supporting functions routinely used in the code.
  • For this course, it consists of a single file, portfolio.py
  • A few demos make use of an unpublished file in this folder, factor_pricing.py. This file is not provided, but you can still see the results of the factor pricing demos.

demos

  • A few coding demonstrations used in class.
  • Most of our in-class discussions revolve around the Homework Discussion notebooks in solutions.

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