Linear Algebra for Investment Management
This "Linear Algebra" course is designed to demonstrate the usefulness and practical relevance of working with vectors and matrices in various applications in investment management, ranging from simple portfolio calculations with assets and factors to non-parametric time series models for extracting trends and scenarios.
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- Please contact us
- Venue:
- Manhattan - New York
- Fee:
This course is also available in London Time Zone and Singapore Time Zone
- Investment Managers, Both Traditional and Alternative
- Risk Managers
- Financial Economists
- Quantitative Investment Analysts
- Data Scientists
- Overcome the terminology and notation barriers of Linear Algebra
- Learn how to execute calculations involving vectors and matrices to solve practical problems in investment analytics
- Develop common sense intuition for seemingly abstract mathematical concepts
- Increase awareness for numerical issues in Linear Algebra applications
- Basic understanding of economics and financial markets, instruments and quantitative concepts like CAPM, mean-variance portfolio selection, time series analysis
Andreas Steiner is an independent investment analytics consultant and Managing Director of Andreas Steiner Consulting GmbH, an investment analytics boutique he has operated since 2011. His work focuses on investment process design and implementation, including risk management, portfolio construction, performance analysis, and bespoke risk assessment.
Previously, Andreas held senior investment risk and performance management roles at Credit Suisse Asset Management, Rothschild Bank AG, and LGT Capital Management, where he was Head of Investment Risk Management. He has also taught portfolio management, performance analysis, international investing, behavioural finance, and investment processes as an external lecturer at Zurich University of Applied Sciences.
Andreas has published research on a range of investment topics, including “Risk Parity for the Masses” in the Journal of Institutional Investing, and is the author of Essays on Applied Portfolio Analytics – Quantitative Methods for Investment Professionals, scheduled for publication in 2026/27. He is also Senior Strategic Advisor to the Global Security Fund at Finserve Nordic AB and holds a master’s degree (lic. oec. publ.), magna cum laude, in Economics from the University of Zurich.
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Introduction
- What is Linear Algebra
- Why is Linear Algebra interesting for investment analysis?
Scalars, Vectors and Matrices
- One and Zero Objects
- Symmetrical Matrices
- Diagonals (minor/major/nth), Triangulars (upper/lower)
- Geometrical, Statistical & Analytical Interpretations of Vectors and Matrices
Transformations
- Transpose
- Vectorisations
- Hankel, Toeplitz
- Sort, Centre, Standardize
- Circular Shift
- Matrices from Lagged Data
Applications (discussed and calculated in Excel):
- Covariance Matrix Decomposition and Construction from Correlations and Volatilities
- Building Inputs for Vector Autoregressive Models
- Transition Probability Matrices in Markov Regime Switching & Credit Risk Analysis
Basic Operations with Vectors and Matrices
- Addition & Subtraction
- Multiplication: Matrix Products
- Division: Inverse of a Matrix, Pseudoinverse
- Elementwise Operations
Applications (discussed and calculated in Excel):
- Portfolio Risk and Return Calculations
- Interpreting the Inverse of a Correlation Matrix In Regression Analysis
Matrix Properties
- Unitary, Zero
- Symmetry
- Square
- Rank
- Determinant
- Definiteness: positive/negative, semi
- Singular
- Norms
Applications (discussed and calculated in Excel):
- Factor Model Analytics: Portfolio Decomposition, Asset Risk and Return from Factors
- Validity of a Correlation Matrix
Advanced Operations
-
Introduction to Matrix Factorizations
- Cholesky Decomposition
- PCA, SVD
- QR, LU
- Matrix Derivatives
Applications (discussed and calculated in Excel):
- Regression Analysis: Least Square Problems in Matrix Form
- Simulating Correlated Time Series Data
- Linear Model Identification: Principal Component Analysis (PCA) for S&P 500 Constituents
- Dimensionality Reduction: PCA versus SVD
- Singular Spectral Analysis: Non-Parametric Decomposition of Time Series Data
Linear Algebra in Microsoft Excel
- Built-in Functionality
- VBA Functions
- Add-Ins
Course Details
This course is also available in London Time Zone and Singapore Time Zone
- To run this course at your organisation, contact us.
Call now for more information on this course or to book:
Americas +1 212 710 1343
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