COMPG004 - Market Risk Measures and Portfolio Theory
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 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.
Utility functions and risk aversion models; equilibrium pricing and efficiency, arbitrage and pricing kernels; risk measurement, value at risk and coherent risk