Postgraduate Course: Modern Portfolio Theory (MATH11067)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Course type | Standard |
Availability | Available to all 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. |
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
| Additional Costs | None |
Information for Visiting Students
| Pre-requisites | None |
| Displayed in Visiting Students Prospectus? | Yes |
Course Delivery Information
|
| Delivery period: 2012/13 Semester 2, Not available to visiting students (SS1)
|
WebCT enabled: No |
Quota: None |
| Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
| No Classes have been defined for this Course |
| First Class |
First class information not currently available |
| No Exam Information |
Summary of Intended Learning Outcomes
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. |
Assessment Information
Examination 80%, Coursework 20%
Examination held at Heriot-Watt University. |
Special Arrangements
| None |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Not entered |
| Transferable skills |
Not entered |
| Reading list |
Not entered |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords | FMPT |
Contacts
| Course organiser | Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: |
Course secretary | Mrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: |
|
© Copyright 2012 The University of Edinburgh - 6 March 2012 6:17 am
|
University Homepage