The lectures in this masterclass will cover some important aspects of portfolio allocation and risk assessment from a large pool of financial assets (e.g. stocks).
It will cover large volatility matrix estimation, assessing risks of large portfolios, portfolio selection and tracking, portfolio optimization under gross exposure constraints, among others.
Econometrics for high-frequency data will also be introduced to enhance the time locality and sample size.
This is event is jointly organised by the Cambridge-INET Institute.
