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.

CodeCOMPG004
YearMSc
PrerequisitesKnowledge of probability and stochastic process theory. Introductory course in Financial Mathematics.
Term1
Taught ByJohannes Ruf (100%)
Aims/Learning Outcomes

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.
Students will be able to apply the standard models in asset pricing, portfolio theory, and risk measurement. Students will be aware of the statistical and numerical limitations of these models and know about modern approaches to tackle those issues.

Content

Utility functions and risk aversion models; equilibrium pricin