# 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).

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

Year | MSc |

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

Term | 1 |

Taught By | Johannes 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. |

# Content

Utility functions and risk aversion models; equilibrium pricing and efficiency, arbitrage and pricing kernels; risk measurement, value at risk and coherent risk