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DEGREE REGULATIONS & PROGRAMMES OF STUDY 2011/2012
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DRPS : Course Catalogue : School of Mathematics : Mathematics

Postgraduate Course: Modern Portfolio Theory (MATH11067)

Course Outline
SchoolSchool of Mathematics CollegeCollege of Science and Engineering
Course typeStandard AvailabilityAvailable to all students
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) Credits15
Home subject areaMathematics Other subject areaFinancial Mathematics
Course website None Taught in Gaelic?No
Course descriptionThis aim of this course is to provide postgraduate students with a broad knowledge of asset pricing and portfolio selection models.
Entry Requirements (not applicable to Visiting Students)
Pre-requisites Co-requisites
Prohibited Combinations Other requirements None
Additional Costs None
Information for Visiting Students
Pre-requisitesNone
Displayed in Visiting Students Prospectus?Yes
Course Delivery Information
Delivery period: 2011/12 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
No Exam Information
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%
Examination held at Heriot-Watt University.
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
KeywordsFMPT
Contacts
Course organiserDr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk
Course secretaryMrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk
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© Copyright 2011 The University of Edinburgh - 16 January 2012 6:25 am