Occurrence | Teaching period |
---|---|
A1 | Semester 1 2024-25 |
A2 | Semester 1 2024-25 to Semester 2 2024-25 |
B1 | Semester 2 2024-25 |
B2 | Semester 2 2024-25 to Semester 1 2025-26 |
Students are expected to acquire the skills and knowledge necessary to apply modern risk measures and management tools and to use portfolio theory to manage and balance investment risk and return. The main emphasis here is on employing the concept of diversification for management of stock investment. A more general approach involves utility functions and the construction of portfolios using expected utility optimisation. Portfolios of various derivative securities are powerful tools for risk management. Sophisticated needs of fund managers can be addressed by designing these portfolios. Students also need to demonstrate familiarity with pricing models along with their strengths and disadvantages.
By the end of this module students should
Task | % of module mark |
---|---|
Coursework - extensions not feasible/practicable | 100 |
Oral presentation/seminar/exam | 0 |
None
Task | % of module mark |
---|---|
Coursework - extensions not feasible/practicable | 100 |
Oral presentation/seminar/exam | 0 |
Information currently unavailable
1. M.J. Capinski and E. Kopp, Portfolio Theory and Risk Management, Cambridge University Press 2014 (to appear).
2. M. Capinski and T. Zastawniak, Mathematics for Finance: An Introduction to Financial Engineering, 2nd edition, Springer 2011.
3. D.G. Luenberger, Investment Science, Oxford University Press 1998.
4. E. Elton, M. Gruber, S. Brown, W. Goetzmann: Modern Portfolio Theory and Investment Analysis, 7th Edition Wiley 2007.