MA311-7-AU-CO:
Mathematics of Portfolios
2024/25
Mathematics, Statistics and Actuarial Science (School of)
Colchester Campus
Autumn
Postgraduate: Level 7
Current
Thursday 03 October 2024
Friday 13 December 2024
15
13 January 2025
Requisites for this module
(none)
(none)
(none)
(none)
(none)
DIP GN1309 Mathematics and Finance,
MSC GN1312 Mathematics and Finance,
MSC GN1324 Mathematics and Finance,
DIP N32309 Actuarial Science,
MSC N32312 Actuarial Science,
MSC N32324 Actuarial Science,
MPHDN32348 Actuarial Science,
PHD N32348 Actuarial Science
The module introduces modern financial economic theories and methods on portfolio management to construct asset models to assist risk management of financial services firms.
The aims of this module are:
- To cover part of the syllabus of CM2 published by the Institute and Faculty of Actuaries (IFoA).
- To provide a grounding in the principles of modelling with a focus on risk management.
By the end of the module, students will be expected to:
- Demonstrate originality in the application of utility theory to economic and financial problems.
- Have a critical awareness of the advantages and disadvantages of different measures of investment risk.
- Have a systematic understanding of the assumptions of mean-variance portfolio theory and find mean-variance optimal portfolios.
- Have a comprehensive understanding of the properties of single and multifactor models of asset returns.
- Have a comprehensive understanding of risk management of the bonds
- Critically discuss the impact of behavioural aspects of the market participants
- Have conceptual understanding of asset pricing models, perform calculations and appreciate the limitations of the models studied.
Indicative syllabus
- Utility Theory and Investment Risk:
Utility function, expected utility theorem, measures of investment risk – variance of return, downside semi-variance of return, shortfall probabilities and Value-at-Risk (VAR) / Tail VaR.
- Mean Variance Portfolio Theory:
Short sales and portfolios of assets, diversification, the Markowitz model, the two-fund theorem, inclusion of a risk-free asset, the one-fund theorem.
- The Capital Asset Pricing Model (CAPM):
Capital asset pricing model, betas and CAPM for portfolios, security market line, CAPM as a pricing formula, the Efficient Market Hypothesis (EMH)
- Factor Models:
Single factor models, multi-factor models, construction of the different types of multifactor models and perform calculations using both single and multi-factor models.
- Arbitrage Pricing Theory:
Simple APT, compatibility of APT with CAPM, More on compatibility of APT with CAPM, two-factor model, diversifying the portfolio, arbitrage pricing on the diversified portfolio.
Teaching in the School will be delivered using a range of face to face lectures, classes and lab sessions as appropriate for each module. Modules may also include online only sessions where it is advantageous, for example for pedagogical reasons, to do so.
This module does not appear to have a published bibliography for this year.
Assessment items, weightings and deadlines
Coursework / exam |
Description |
Deadline |
Coursework weighting |
Coursework |
Test |
13/12/2024 |
|
Exam |
Main exam: In-Person, Open Book (Restricted), 120 minutes during Summer (Main Period)
|
Exam |
Reassessment Main exam: In-Person, Open Book (Restricted), 120 minutes during January
|
Exam |
Reassessment Main exam: In-Person, Open Book (Restricted), 120 minutes during September (Reassessment Period)
|
Exam format definitions
- Remote, open book: Your exam will take place remotely via an online learning platform. You may refer to any physical or electronic materials during the exam.
- In-person, open book: Your exam will take place on campus under invigilation. You may refer to any physical materials such as paper study notes or a textbook during the exam. Electronic devices may not be used in the exam.
- In-person, open book (restricted): The exam will take place on campus under invigilation. You may refer only to specific physical materials such as a named textbook during the exam. Permitted materials will be specified by your department. Electronic devices may not be used in the exam.
- In-person, closed book: The exam will take place on campus under invigilation. You may not refer to any physical materials or electronic devices during the exam. There may be times when a paper dictionary,
for example, may be permitted in an otherwise closed book exam. Any exceptions will be specified by your department.
Your department will provide further guidance before your exams.
Overall assessment
Reassessment
Module supervisor and teaching staff
Yes
No
No
Available via Moodle
Of 33 hours, 31 (93.9%) hours available to students:
0 hours not recorded due to service coverage or fault;
2 hours not recorded due to opt-out by lecturer(s), module, or event type.
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