Postgraduate Course: Modern Portfolio Theory (MATH11067)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Course type | Standard |
Availability | Not available to visiting 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 | MSc Financial Mathematics students only. |
| Additional Costs | None |
Course Delivery Information
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| Delivery period: 2014/15 Semester 2, Not available to visiting students (SS1)
|
Learn enabled: No |
Quota: None |
|
Web Timetable |
Web Timetable |
| Course Start Date |
12/01/2015 |
| Breakdown of Learning and Teaching activities (Further Info) |
Total Hours:
150
(
Lecture Hours 40,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 3,
Directed Learning and Independent Learning Hours
105 )
|
| Additional Notes |
Examination takes place at Heriot-Watt University.
|
| Breakdown of Assessment Methods (Further Info) |
Written Exam
100 %,
Coursework
0 %,
Practical Exam
0 %
|
| 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
| See 'Breakdown of Assessment Methods' and 'Additional Notes' above. |
Special Arrangements
| MSc Financial Mathematics students only. |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Utility Theory.
Stochastic Dominance.
Measures of Investment Risk.
Portfolio Theory.
Models of Asset Returns.
Capital Asset Pricing Model.
Arbitrage Pricing Theory.
Evaluating Portfolio Performance. |
| Transferable skills |
Not entered |
| Reading list |
Elton, E., Gruber, M., Brown, S.J. & Goetzmann, W.N. (2006). Modern Portolio Theory and Investment Analysis, 6th edition. Wiley. |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords | FMPT |
Contacts
| Course organiser | Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: |
Course secretary | Dr Jenna Mann
Tel: (0131 6)50 4885
Email: |
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