Postgraduate Course: Modern Portfolio Theory (MATH11067)
Course Outline
School |
School of Mathematics |
College |
College of Science and Engineering |
Course type |
Standard |
Availability |
Available to all students |
Credit level (Normal year taken) |
SCQF Level 11 (Postgraduate) |
Credits |
15 |
Home subject area |
Mathematics |
Other subject area |
Financial Mathematics |
Course website |
None
|
Taught in Gaelic? |
No |
Course description |
This aim of this course is to provide postgraduate students with a broad knowledge of asset pricing and portfolio selection models. |
Entry Requirements
Pre-requisites |
|
Co-requisites |
|
Prohibited Combinations |
|
Other requirements |
None
|
Additional Costs |
None |
Information for Visiting Students
Pre-requisites |
None |
Displayed in Visiting Students Prospectus? |
Yes |
Course Delivery Information
|
Delivery period: 2010/11 Semester 2, Not available to visiting students (SS1)
|
WebCT enabled: No |
Quota: None |
Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
No Classes have been defined for this Course |
First Class |
First class information not currently available |
Exam Information |
Exam Diet |
Paper Name |
Hours:Minutes |
Stationery Requirements |
Comments |
Outwith Standard Exam Diets June | | : | | |
Summary of Intended Learning Outcomes
On completion of this course the student should be able to,
! Develop a critical understanding of the different forms of market efficiency and their economic implications;
! Derive the properties of a utility function;
! State the conditions for absolute, first order and second order stochastic dominance;
! Calculate some important measures of risk: variance, semi-variance, shortfall probability and mean shortfall;
! Calculate the mean and variance of return on a portfolio of assets;
! Describe the purpose and calculation of the following: opportunity set, efficient frontier, indifference curve, separation theorem;
! Describe the properties of single-factor and multi-factor models. Show how to fit a single-factor model to market price data;
! Discuss the assumptions underlying and applications of the Capital Asset Pricing Model and Arbitrage Pricing Theory;
! Derive the capital market line and the security market line. Derive the results of the two-factor Arbitrage Pricing Theory;
! State the weak, semi-strong and strong forms of the efficient market hypotheses and discuss their economic implications;
! Develop a critical understanding of the different forms of market efficiency and their economic implications
! Derive the properties of a utility function;
! State the conditions for absolute, first order and second order stochastic dominance;
! Calculate some important measures of risk: variance, semi-variance, shortfall probability and mean shortfall;
! Calculate the mean and variance of return on a portfolio of assets;
! Describe the purpose and calculation of the following: opportunity set, efficient frontier, indifference curve, separation theorem;
! Describe the properties of single-factor and multi-factor models. Show how to fit a single-factor model to market price data;
! Discuss the assumptions underlying and applications of the Capital Asset Pricing Model and Arbitrage Pricing Theory;
! Derive the capital market line and the security market line. |
Assessment Information
Examination 80%, Coursework 20% |
Special Arrangements
None |
Additional Information
Academic description |
Not entered |
Syllabus |
Not entered |
Transferable skills |
Not entered |
Reading list |
Not entered |
Study Abroad |
Not entered |
Study Pattern |
Not entered |
Keywords |
FMPT |
Contacts
Course organiser |
Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk |
Course secretary |
Mrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
|
copyright 2011 The University of Edinburgh -
13 January 2011 6:21 am
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