Portfolio & Investment Theory - MAT00021I
- Department: Mathematics
- Credit value: 10 credits
- Credit level: I
- Academic year of delivery: 2022-23
Module will run
| Occurrence | Teaching period |
|---|---|
| A | Spring Term 2022-23 |
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)
Indicative assessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 80 |
| Essay/coursework | 20 |
Special assessment rules
None
Indicative reassessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 80 |
| Essay/coursework | 20 |
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.