Postgraduate Course: Portfolio Theory (MATH11149)
Course Outline
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 |
SCQF Credits | 15 |
ECTS Credits | 7.5 |
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. |
Course description |
Utility Theory.
Stochastic Dominance.
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)
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Entry Requirements (not applicable to Visiting Students)
Pre-requisites |
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Co-requisites | |
Prohibited Combinations | |
Other requirements | None |
Course Delivery Information
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Academic year 2015/16, Not available to visiting students (SS1)
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Quota: None |
Course Start |
Semester 2 |
Timetable |
Timetable |
Learning and Teaching activities (Further Info) |
Total Hours:
150
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Lecture Hours 40,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 3,
Directed Learning and Independent Learning Hours
105 )
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Additional Information (Learning and Teaching) |
Examination takes place at Heriot-Watt University
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Assessment (Further Info) |
Written Exam
100 %,
Coursework
0 %,
Practical Exam
0 %
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Additional Information (Assessment) |
Examination 100%. Exam is sat at and organised by Heriot-Watt University. |
Feedback |
Not entered |
Exam Information |
Exam Diet |
Paper Name |
Hours & Minutes |
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Main Exam Diet S2 (April/May) | Portfolio Theory MATH11149 | 2:00 | |
Learning Outcomes
- 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.
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Reading List
Elton, E., Gruber, M., Brown, S.J. & Goetzmann, W.N. (2006). Modern Portolio Theory and Investment Analysis, 6th edition. Wiley. |
Additional Information
Graduate Attributes and Skills |
Not entered |
Additional Class Delivery Information |
Taught at Heriot-Watt University |
Keywords | FPTh |
Contacts
Course organiser | Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: |
Course secretary | Mr Brett Herriot
Tel: (0131 6)50 4885
Email: |
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© Copyright 2015 The University of Edinburgh - 27 July 2015 11:36 am
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