Ses 14: Portfolio Theory II

Рет қаралды 220,239

11 жыл бұрын

MIT 15.401 Finance Theory I, Fall 2008
View the complete course: ocw.mit.edu/15-401F08
Instructor: Andrew Lo
License: Creative Commons BY-NC-SA
More information at ocw.mit.edu/terms
More courses at ocw.mit.edu

Пікірлер: 76

@YusifRefae 2 жыл бұрын

"Warren Buffett, I don't think, knows how to calculate these covariances, but he's done okay." - what a gem of a quote and one of the best insights in this lecture series. here's all this financial theory. now, don't consider it sacrosanct. use it as a guide to the real world and take it with a grain of salt. brilliant

@mitchelldyer5415 2 жыл бұрын

1:03:57 😂 “Statistics is a mathematical quantification of our stupidity”

@MrHvp3110 6 жыл бұрын

Can we get videos of 15.433 lecture? it would be really amazing to learn investment from this professor. Any lead pls let me know. :-)

@seandelargy5639 3 жыл бұрын

seconded

@andreasapei2859 3 жыл бұрын

I want them too

@kritikashanker3115 3 жыл бұрын

Yes please.

@_santi_calvo 3 жыл бұрын

Please, it would be great!

@jitheshdsouza98 3 жыл бұрын

Same

@DevinSmith1486 6 ай бұрын

this is so refreshingly simple after watching peter kempthorne's lecture on this topic

@jonward6763 6 жыл бұрын

“ Luck always follow the prepared mind “ - Jim Rogers...thank you MIT and Professor Lo...

@2289ming 7 жыл бұрын

the best lecturer ever

@reprogrammingmind 3 жыл бұрын

compared to?

@r.b5496 6 жыл бұрын

Mesmerizing insights and its for free!!.. Good job MIT

@Alpha1111100 3 жыл бұрын

The prof is the best. very articulated and clear

@kapild11 11 жыл бұрын

Professor Lo has unique style of presentation, its too much helpful to the finance students, thanks to MIT open courseware

@gajagdinicz8364 3 жыл бұрын

Yes, it's really too much. He needs to stop being so helpful. This advice may have arrived a bit too late, but I hope it helps.

@Younessss_ 4 жыл бұрын

Would honestly pay solid money for 15.437 and 15.433.

@robertkelly9836 2 жыл бұрын

How do I receive a invitation to the renaissance technology website? Great lecture. Thank you.

@UmTheMuse 3 жыл бұрын

The professor claims that the inner curve is just as good as anywhere else along the efficient frontier, but going back to what he said in the video about slicing different bonds into different tranches, it seems to me that you're much better off accepting higher *known* portfolio variance. When you're inevitably wrong in your initial assumptions, you'll be pleasantly surprised instead of unexpectedly destroyed

@theYoutubeHandle 3 жыл бұрын

professor: guys, n * n is n^2. How did you get into mit?

@givent1GOD 2 жыл бұрын

Literally just to throw $20 on google

@arrowb3408 4 жыл бұрын

AL ever envied the scientific overall process from the coming up notion to experiment while he was little. Now, I really REGRATE my statistic textbook directly sold back to book store after finishing the class and numerous and tedious long fuction practice back in homework. Mannnnnnnn.... Now this time I really need to do my own mindset to analyze all equilibrium he said in each of his class. Man............STF..........

@ja7857 4 жыл бұрын

The only difference between a knucklehead and an insider is that one of them ends up with the other's money.

@brainstormingsharing1309 3 жыл бұрын

Absolutely well done and definitely keep it up!!! 👍👍👍👍👍

@whoknows4006 9 жыл бұрын

Brilliant, and free - what's not to love? Free your mind Neo.

@wickedwitch877 8 жыл бұрын

the lower boundary of the minimum variance frontier is not intuitive is it?

@bganbesfien 7 жыл бұрын

Yes, i'm sure it is non-intuitive because rational individuals will be reluctant to assume a higher risk (moving eastward) for a lower return (southward). Have you cleared your tests successfully? =) Comments@Taiwan

@wickedwitch877 7 жыл бұрын

子健Tj Yen yup:)

@laylagames801 4 жыл бұрын

I like the style of lecturing and he makes finance interesting. Good Job!

@Shauracool123 3 жыл бұрын

So basically correlation is higher among market participants when there is some strong emotional sentiment in the market. Either positive "Economic recovery after Covid-19" (Then all investors will buy) or negative "Covid itself" (Then all will sell) at that time behavior is highly correlated. At that time market could become highly irrational and inefficient. While if there is not a significant event then behaviour would not be correlated and it would be effecient

@naretklomjan8108 10 жыл бұрын

lecture finance university of the world...the best

@johnphillips4887 6 жыл бұрын

What happens if you short stocks and get more Tbills? Is there such a thing as negative risk?

@MrJohndoe845 6 жыл бұрын

You would actually be increasing your risk because the short position has a variance as well

@joelpickering1232 4 жыл бұрын

No, there is no such thing as a negative risk. Probability can't be negative, but must be between 0 and 1 i.e. 0

@Elaba_ 3 жыл бұрын

Shorting stocks is high risk because your losses can be limit less.

@KingXKok 3 жыл бұрын

Variance of the negative of a stochastic random variable is equal to the positive

@veselintilev7446 7 жыл бұрын

I am not completely sure but i don't think that the statement that There are no assets with perfect negative correlation is true? For example a long stock and long derivative that has the return of (- Stock), or long and short the same stock from two different accounts makes the perfect hedge, or long an ETF that's long a basket of stocks and long another ETF that's short on the same basket of stocks in equal weights. The returns (both actual and expected) would be 0, so there's no arbitrage or anything else. If there is perfect positive correlation, then long one of the stocks and short the other would also be the same. Am I doing something wrong or did he just make a minor mistake with that statement?

@lordstorm88 7 жыл бұрын

no you are right. Going long and short the same stock you basically pay twice the fees and make 0 return with 100% certainty. The point is finding two assets which have high negative correlation, high return and the correlation is consistent through time (the hardest part, which is an assumption in portfolio theory)

@jakkbnimble4085 5 жыл бұрын

Perhaps 2 or more different assets would have been more precise terminology. I feel that is what he was implying.

@madridmusic3948 5 жыл бұрын

19:00 Desviación Estandar anualizada de SD mensual

@gonzalogonzalez1706 3 жыл бұрын

Excellent professor!!!!!!!

@lseul8812 3 жыл бұрын

Imagine having the privilege to actually be there... and falling asleep

@chrstfer2452 2 жыл бұрын

Ikr? The facts dont aggregate

@linderbrock 11 жыл бұрын

n^2 how is it ? any body.... yara yara--> NOOO it is n^2.... Super troll.

@geraldo4004 3 жыл бұрын

Fin FIRE G! 🔥 🔥 🔥 🔥 🔥 🔥 🔥 🔥

@whatsup7184 2 жыл бұрын

LOLOLOLOLLLL That's pretty scary when you read/check up uncorrelated asset in your portfolio today. Then next day one of them which is subprime mortgage got defaulted and everyone tried to get out of this hot potato. Now this asset became into correlated within just a day. LOLOLOLLL... That would be a surprised nightmare for me to get rid of it out of my port. VERY HARD. And My Port will be dragged into bloody red very fast and long........... damn.

@andrewstoehr 2 жыл бұрын

Lo and Behold

@ibraheemmoosa 3 жыл бұрын

"Means and Variances will remain stable over time" - is still a forecast. It is a forecast that something won't change.

@estepans 3 жыл бұрын

It's an assumption, not a forecast. Certain assumptions are necessary to create the framework for making forecasts.

@6lack5ushi 2 жыл бұрын

This is a difference in semiotics, I agree the assumption is a forecast in human behaviour remaining constant with respect to a derivative. You forecast the variance is zero by assuming the stable preference. Which he explains is not true when correlations become 1 everything follows the trend regardless of any assumption made MAKING YOUR FRAMEWORK InVALiD I.e. 2008, 2010 2:45 flash crash, COVID is this problem ^80….

@estepans 2 жыл бұрын

@@6lack5ushi Yes, those and other discrete points in time prove that this and no other framework cannot be valid continuously 100% of the time when it comes to capital markets. I guess the question becomes then, which framework has adequate validity within a long enough time frame.

@6lack5ushi 2 жыл бұрын

@@estepans I just did my diss on how economic frameworks are more idealogical than rooted in “merit”(measurable observables). So I honestly don’t know its a great question. And one that keeps the entire field from reaching consensus, which makes finding said framework a bit of a fools errand unless used to capitalise on the markets then it deepens the problem…. Catch22

@marcosg2201 8 жыл бұрын

La traduccion es muy parecida. gracias.

@kamranyusifov7451 8 жыл бұрын

Of course you cannot find two stocks with perfectly negative correlation since that would imply one stock would fall when the other rises in price meaning one of the stocks would be on the same level of risk but on the opposite return (negative of the other stock) meaning that the piecewise function would converge symmetrically on a return of 0, assuming no dividends. Besides that point this is a great lecture.

@wowwhiner 5 жыл бұрын

Isn't that the case when the expected rates of return are the same? In the example if the rate of return for Motorola and GM change by the opposite amounts percentually you would gain money if the rising stock was Motorola. You could get the -1 correlation with expected value 0 (minus expenses) by shorting a stock and buying a corresponding amount.

@djsocialanxiety1664 5 жыл бұрын

students questions at MIT are as dumb as at my uni nice

@farazcoo7 Жыл бұрын

I’m from Chicago but go Boston 😂😂

@sixinghu9291 5 жыл бұрын

needs updates, 480p revulsion is horrible

@zhanglei3amm 11 жыл бұрын

2 dislikes, because they dont get it, even if professor Lo has explained it in such an easy way.

@adityadeshmukh6426 4 жыл бұрын

Motorola 😂

@xxyyzz8464 11 ай бұрын

Just FYI, the majority of real-world non-theoretical physics deals with complex nonlinear dynamic systems without analytic solutions whose states are uncertain. Also, mathematicians and physicists like Jim Simons know darn well that correlations can change, and are far more sophisticated in their modeling than I’d venture 99.99% of MIT MBAs, so I’m not sure why this guy has such a problem (or inferiority complex?) with physicists and mathematicians.