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||This course is delivered by Heriot Watt University and is only available to students on the MSc Financial Mathematics programme.
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 2017/18, 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 David Siska
Tel: (0131 6)51 9091
|Course secretary||Ms Hannah Burley
Tel: (0131 6)50 4885