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).

PrerequisitesKnowledge of linear algebra, probability and stochastic process theory. Introductory course in Financial Mathematics.
Taught ByCamilo Garcia Trillos (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.


Utility functions and risk aversion models; stochastic discount factors, arbitrage and pricing kernels; portfolio choice and optimization, mean-variance analysis, beta pricing; dynamic financial mark