COMPG004 - Market Risk Measures and Portfolio Theory
This database contains the 2016-17 versions of syllabuses. Syllabuses from the 2015-16 session are available here.
Note: Whilst every effort is made to keep the syllabus and assessment records correct, the precise details must be checked with the lecturer(s).
|Prerequisites||Knowledge of linear algebra, probability and stochastic process theory. Introductory course in Financial Mathematics.|
|Taught By||Camilo Garcia Trillos (100%)|
The module aims to familiarise students with key concepts and models in general asset pricing, portfolio theory, and risk measurement. Those concepts and models include risk aversion, utility functions as a representation of preferences, efficient frontiers, Markowitz Portfolio theory, the Capital Asset Pricing model, Value at Risk, and Expected Shortfall.
Utility functions and risk aversion models; stochastic discount factors, arbitrage and pricing kernels; portfolio choice and optimization, mean-variance analysis, beta pricing; dynamic financial markets; risk measurement, value at risk, expected shortfall and coherent risk measures; statistical and numerical issues.
Method of Instruction
3 hour lectures per week.
The course has the following assessment component:
- Written examination (2.5 hours, 100%)
To pass this course, students must:
- Obtain an overall pass mark of 50%