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: 2019-20

Module will run

Occurrence Teaching cycle
A Spring Term 2019-20

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


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)


Task Length % of module mark
University - closed examination
Portfolio & Investment Theory
1.5 hours 100

Special assessment rules



Task Length % of module mark
University - closed examination
Portfolio & Investment Theory
1.5 hours 100

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.

The information on this page is indicative of the module that is currently on offer. The University is constantly exploring ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.