MA311-7-SP-CO:
Mathematics of Portfolios
2019/20
Mathematics, Statistics and Actuarial Science (School of)
Colchester Campus
Spring
Postgraduate: Level 7
Current
Monday 13 January 2020
Friday 20 March 2020
15
01 October 2019
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 G20109 Optimisation and Data Analytics,
MSC G20312 Optimisation and Data Analytics,
DIP N32309 Actuarial Science,
MSC N32312 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.
Syllabus
1. 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.
2. 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.
3. 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)
4. 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.
5. 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
On completion of the module students should be able to:
- Describe and discuss the application of utility theory to economic and financial problems.
- Discuss the advantages and disadvantages of different measures of investment risk.
- Describe and discuss the assumptions of mean-variance portfolio theory and find mean-variance optimal portfolios.
- Describe and discuss the properties of single and multifactor models of asset returns.
- Describe asset pricing models, perform calculations and appreciate the limitations of the models studied.
No additional information available.
This module has 30 lectures and 5 classes in the autumn term. There are 3 revision hours in the summer term.
This module does not appear to have any essential texts. To see non-essential items, please refer to the module's reading list.
Assessment items, weightings and deadlines
Coursework / exam |
Description |
Deadline |
Coursework weighting |
Coursework |
Homework 1 |
12/02/2020 |
|
Written Exam |
Test |
20/03/2020 |
|
Exam |
Main exam: 24hr during Summer (Main 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
Dr Haslifah Hasim, email: hhashim@essex.ac.uk.
TBC
Dr Haslifah Hasim (hhashim@essex.ac.uk)
No
No
No
Dr Dimitrina Dimitrova
Cass Business School, City, University of London
Senior Lecturer
Available via Moodle
Of 92 hours, 30 (32.6%) hours available to students:
62 hours not recorded due to service coverage or fault;
0 hours not recorded due to opt-out by lecturer(s).
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