Postgraduate Course: Portfolio Theory (MATH11149)
|School||School of Mathematics
||College||College of Science and Engineering
|Credit level (Normal year taken)||SCQF Level 11 (Postgraduate)
||Availability||Not available to visiting students
|Summary||*Please note that this course is for MSc Financial Mathematics students only.*
This aim of this course is to provide postgraduate students with a broad knowledge of asset pricing and portfolio selection models.
Measures of Investment Risk.
Mean-Variance Portfolio Theory and alternatives Models of Asset Returns.
Capital Asset Pricing Model.
Efficient Market Hypothesis and behavioural finance. (prospect theory)
Entry Requirements (not applicable to Visiting Students)
||Other requirements|| None
Course Delivery Information
|Academic year 2015/16, Not available to visiting students (SS1)
|Learning and Teaching activities (Further Info)
Lecture Hours 40,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 3,
Directed Learning and Independent Learning Hours
|Additional Information (Learning and Teaching)
Examination takes place at Heriot-Watt University
|Assessment (Further Info)
|Additional Information (Assessment)
||Examination 100%. Exam is sat at and organised by Heriot-Watt University.
||Hours & Minutes
|Main Exam Diet S2 (April/May)||Portfolio Theory MATH11149||2:00|
| - 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;
- Demonstrate an understanding of methods used to select portfolios of assets, including utility theory, stochastic dominance and mean-variance analysis;
- Describe the purpose and calculation of the following: opportunity set, efficient frontier, indifference curve, separation theorem;
- Develop a critical understanding on the theory of mean-variance model and understand its modifications using other risk measures;
- 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 ;
- Derive the capital market line and the security market line;
- Understand the concept of risk premium in Arbitrage Pricing Theory;
- State the weak, semi-strong and strong forms of the efficient market hypotheses and discuss their economic implications;
- Discuss the topics in prospect theory: framing, reference points, probability estimates.
|Elton, E., Gruber, M., Brown, S.J. & Goetzmann, W.N. (2006). Modern Portolio Theory and Investment Analysis, 6th edition. Wiley.|
|Graduate Attributes and Skills
|Additional Class Delivery Information
||Taught at Heriot-Watt University
|Course organiser||Dr Sotirios Sabanis
Tel: (0131 6)50 5084
|Course secretary||Mr Thomas Robinson
Tel: (0131 6)50 4885
© Copyright 2015 The University of Edinburgh - 18 January 2016 4:25 am