COMPG004 - Market Risk Measures and Portfolio Theory
This database contains the 2016-17 versions of syllabuses. These are still being finalised and changes may occur before the start of the session.
Syllabuses from the 2015-16 session are available here.
|Prerequisites||Knowledge of probability and stochastic process theory. Introductory course in Financial Mathematics.|
|Taught By||Johannes Ruf (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.