Teaching Materials

Dr. Fleckenstein

Professor Mattias Fleckenstein's teaching materials are at this link: https://fleckenstein-m.github.io/TIPS_Treas_W2022/

These pages also contain his exercises needed for the Completion with Distinction certification.

Mr. Jakotowicz, CFP, CFA

Mr. Rich Jakotowicz's teaching materals, mainly Bloomberg Cheat Sheets

Rich's web site: sites.udel.edu/richj. Here is the link to the trading quiz 1.

Dr. Laux

Materials for Prof. Paul teaching

• Materials for Kelly bet sizing and simulations module

  • Hagani and Dewey on bet sizing in the Financial Analysts Journal and summary slideset

  • CFA blog on Kelly criterion

  • Jupyter notebook with R simulation example

• Materials for Markowitz and active weight choice and backtesting module

  • Prelude: ETFs and how they work. Intro slideset. Copies of live drawings: Creation/redemption and Heartbeat trades

  • etf.com, and etf.com/topics/momentum and etf.com.topics/value ... and commodities and crypto and thematic and ...

  • Center for Research in Securities Prices and Wharton Research Data Services

  • Portfolio visualizer

  • Your ETFs list

  • Motivation for prediction: A part of Chapter 3 of Stefan Nagel on machine learning for asset pricing

  • Jupyter notebook to make a high Sharpe ratio portfolio with your ETFs

    • Data file needed for notebook above

    • Preprocessing Jupyter notebook file for CRSP data on your ETFs and data before pre-processing (produces the data file above)

  • Jupyter notebook to predict weights out of sample

    • Data file needed for Jupyter notebook. Data from Kozak and Santosh.

  • Shrinkage and Markowitz to get high Sharpe ratios out of sample: Article by Lenherr Mehta and Nagel

• More to come (if we have enough time, but we may not). 

• Hope our introductory work with the materials above will inspire you to look into them more deeply!