Lecture 13: Portfolio Management

MIT 18.642 Topics in Mathematics with Applications in Finance, Fall 2024 Instructor: Jake Xia View the complete course: https://ocw.mit.edu/courses/18-642-topics-in-mathematics-with-applications-in-finance-fall-2024 YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP601Q2jo-J_3raNCMMs6Jves This lecture provides a comprehensive overview of portfolio management, focusing on the practical aspects of asset allocation, risk measurement, and investment sizing beyond traditional modern portfolio theory, highlighting its limitations and proposing improved approaches such as gain-loss ratios. It also explores behavioral finance concepts like crowding behavior and power law distributions, emphasizing the importance of dynamic rebalancing and understanding market influences from powerful agents such as governments and large funds. License: Creative Commons BY-NC-SA More information at https://ocw.mit.edu/terms More courses at https://ocw.mit.edu Support OCW at http://ow.ly/a1If50zVRlQ We encourage constructive comments and discussion on OCW’s YouTube and other social media channels. Personal attacks, hate speech, trolling, and inappropriate comments are not allowed and may be removed. More details at https://ocw.mit.edu/comments.