# 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).

Code | COMPG004 |
---|---|

Year | MSc |

Prerequisites | Knowledge of linear algebra, probability and stochastic process theory. Introductory course in Financial Mathematics. |

Term | 1 |

Taught By | Camilo 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. |

# Content

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.

# Assessment

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%

# Resources

**Recommended texts**

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 FĂ¶llmer, 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