COMPG004 - Market Risk Measures and Portfolio TheoryNote: Whilst every effort is made to keep the syllabus and assessment records correct, the precise details must be checked with the lecturer(s).
Prerequisities: Knowledge of probability and stochastic process theory. Introductory course in Financial Mathematics.
Taught by: Johannes Ruf (100%)
This course is an introduction to general asset pricing and portfolio theory. Topics incluse the modelling of preferences by utility functions and the introduction of the concept of risk-aversion, the modelling of the pricing kernel and the pricing of financial assets in equilibrium. The treatment of portfolio theory includes also the quantification of risk, efficient frontiers, and optimization problems.
Utility functions and risk aversion models; equilibrium pricing and efficiency, arbitrage and pricing kernels; risk measurement, value at risk and coherent risk measures; portfolio choice and optimization, mean-variance analysis, beta pricing; consumption and terminal wealth optimization; dynamic financial markets and capital asset pricing in continuous time.
Method of Instruction
3 hour lectures per week.
Two-hour written examination in term three (100%)
Student must achieve at least 50% to pass this course.
Back, K., Asset Pricing and Portfolio Choice Theory, Oxford University Press, 2010.
Cochrane, J. H., Asset Pricing, Princeton University Press, 2005.
Duffie, D., Dynamic Asset Pricing Theory, Princeton University Press, 2001.
Karatzas, I. & Shreve S. E., Methods of Mathematical Finance, Springer, 2010.