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Portfolio Theory & Risk Management - MAT00032M

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  • Department: Mathematics
  • Module co-ordinator: Dr. Zaq Coelho
  • Credit value: 10 credits
  • Credit level: M
  • Academic year of delivery: 2017-18

Module will run

Occurrence Teaching cycle
A Autumn Term 2017-18

Module aims

Students are expected to acquire the skills and knowledge necessary to apply modern risk measures and portfolio management tools to balance investment risk and return. The emphasis here is on employing the concept of diversification to manage investment in stock. A more general approach involves utility functions and the construction of portfolios using expected utility optimisation.

Module learning outcomes

At the end of the module you should be able to:

recognize methods of measuring risk, understand the relationships between them and their relevance for particular applications;

understand the concept of diversification and be able to employ it to design and manage a portfolio of stocks;

understand the theoretical background of optimization schemes and be able to implement them to solve practical investment problems;

be able to design a portfolio of financial instruments to meet the needs of managers concerned with hedging risk;

understand the advantages and disadvantages of Value at Risk (VaR), a widely accepted measure of risk; be able to compute VaR in practical applications (time allowing);


Task Length % of module mark
University - closed examination
Portfolio Theory & Risk Management
2 hours 100

Special assessment rules



Task Length % of module mark
University - closed examination
Portfolio Theory & Risk Management
2 hours 100

Module feedback

Information currently unavailable

Indicative reading

S. Benninga and B. Czaczkes, Financial Modelling, MIT Press, 1997.

M. Capinski and T. Zastawniak, Mathematics for Finance: An Introduction to Financial Engineering, Springer 2003.

E.K.P. Chong and S.H. Zak, An Introduction to Optimisation, Wiley 1996.

T.E. Copeland and J.F. Weston, Financial Theory and Corporate Policy, Addison Wesley 1992.

D. Duffie, Dynamic Asset Pricing Theory, Princeton University Press 2001.

E.J. Elton and M.J. Gruber, Modern Portfolio Theory and Investment Analysis, John Wiley & Sons, 1985.

R.A. Haugen, Modern Investment Theory, Prentice Hall, 1993.

D.G. Luenberger, Investment Science, Oxford University Press 1998.

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.