# DEGREE REGULATIONS & PROGRAMMES OF STUDY 2013/2014 -- ARCHIVE as at 1 September 2013 for reference onlyTHIS PAGE IS OUT OF DATE

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# Postgraduate Course: Modern Portfolio Theory (MATH11067)

 School School of Mathematics College College of Science and Engineering Course type Standard Availability Not available to visiting 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.
 Pre-requisites Co-requisites Prohibited Combinations Other requirements MSc Financial Mathematics students only. Additional Costs None
 Delivery period: 2013/14 Semester 2, Not available to visiting students (SS1) Learn enabled:  No Quota:  None Web Timetable Web Timetable Course Start Date 15/01/2014 Breakdown of Learning and Teaching activities (Further Info) Total Hours: 150 ( Lecture Hours 40, Summative Assessment Hours 2, Programme Level Learning and Teaching Hours 3, Directed Learning and Independent Learning Hours 105 ) Additional Notes Examination takes place at Heriot-Watt University. Breakdown of Assessment Methods (Further Info) Written Exam 100 %, Coursework 0 %, Practical Exam 0 % No Exam Information
 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.
 See 'Breakdown of Assessment Methods' and 'Additional Notes' above.
 MSc Financial Mathematics students only.
 Academic description Not entered Syllabus Utility Theory. Stochastic Dominance. Measures of Investment Risk. Portfolio Theory. Models of Asset Returns. Capital Asset Pricing Model. Arbitrage Pricing Theory. Evaluating Portfolio Performance. Transferable skills Not entered Reading list Elton, E., Gruber, M., Brown, S.J. & Goetzmann, W.N. (2006). Modern Portolio Theory and Investment Analysis, 6th edition. Wiley. Study Abroad Not entered Study Pattern Not entered Keywords FMPT
 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
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