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Portfolio & Investment Theory - MAT00021I

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• Department: Mathematics
• Module co-ordinator: Dr. Zaq Coelho
• Credit value: 10 credits
• Credit level: I
• Academic year of delivery: 2021-22
  • See module specification for other years: 2020-21 2022-23

Module will run

Occurrence	Teaching cycle
A	Spring Term 2021-22

Module aims

After successful completion students are able to

• Explain various commonly used measures of risk;

• Explain and apply mean variance portfolio theory;

• Explain, analyse, and apply various commonly used asset pricing theories.

Module learning outcomes

To quantify risk using a variety of risk measures and to deploy the classical portfolio selection and diversification techniques.

Module content

Syllabus

1. Efficient Markets Hypothesis (EMH)

2. Utility theory

3. Measures of risk, including variance of return downside semi-variance, shortfall probabilities and Value at Risk (VaR).

4. Mean-variance portfolio theory.

5. Capital Asset Pricing Model (CAPM).

6. Single and multifactor models of asset returns.

7. Arbitrage Pricing Theory (APT)

Assessment

Task	Length	% of module mark
Essay/coursework Portfolio & Investment Theory Mini Project	N/A	20
Online Exam -less than 24hrs (Centrally scheduled) Portfolio & Investment Theory	1.5 hours	80

Special assessment rules

None

Reassessment

Task	Length	% of module mark
Essay/coursework Portfolio & Investment Theory Mini Project	N/A	20
Online Exam -less than 24hrs (Centrally scheduled) Portfolio & Investment Theory	1.5 hours	80

Module feedback

• Marked coursework returned and discussed in examples classes.

• Examination result in Week 10 of SuT, with model solutions delivered and examiner’s comments available.

Indicative reading

Maciej J. Capinski and Ekkehard Kopp, Portfolio Theory and Risk Management, Cambridge University Press, 2014.

Marek Capinski and Tomasz Zastawniak, Chapter 3 in Mathematics for Finance. An Introduction to Financial Engineering, 2nd edition, Springer-Verlag 2011.

Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann, Modern Portfolio Theory and Investment Analysis, John Wiley, 2003.