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%
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.
Hans Föllmer, Alexander Schied, Stochastic Finance: An Introduction in Discrete Time, Walter de Gruyter, 2011
McNeil, Frey, Embrechts, Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press, 2015