Basic theory of arbitrage for deterministic cash flows and financial derivatives, quadratic criteria for optimal hedging and investment, portfolio choice with utility theory, theory of risk measurement and the use of risk measures in portfolio analysis.
SF2942 Portfolio Theory and Risk Management 7.5 credits
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About course offering
For course offering
Autumn 2024 Start 26 Aug 2024 programme students
Target group
No information insertedPart of programme
Master's Programme, Applied and Computational Mathematics, åk 1, Optional
Master's Programme, Applied and Computational Mathematics, åk 2, Optional
Master's Programme, Applied and Computational Mathematics, åk 2, FMIA, Mandatory
Master's Programme, Computer Simulations for Science and Engineering, åk 2, Conditionally Elective
Master's Programme, Industrial Engineering and Management, åk 1, FMIB, Mandatory
Master's Programme, Industrial Engineering and Management, åk 1, OSYT, Conditionally Elective
Periods
P1 (7.5 hp)Duration
Pace of study
50%
Form of study
Normal Daytime
Language of instruction
English
Course location
KTH Campus
Number of places
Places are not limited
Planned modular schedule
Course memo
Course memo is not publishedSchedule
Link to scheduleApplication
For course offering
Autumn 2024 Start 26 Aug 2024 programme students
Application code
51482
Contact
For course offering
Autumn 2024 Start 26 Aug 2024 programme students
Contact
Nacira Agram (nacira@kth.se)
Examiner
No information insertedCourse coordinator
No information insertedTeachers
No information insertedContent and learning outcomes
Course contents
Intended learning outcomes
The student shall be able to formulate and apply the theoretical concepts and mathematical methods of portfolio theory and risk management.
Literature and preparations
Specific prerequisites
- English B / English 6
- Completed course in multivariable calculus (SF1626, SF1674 or equivalent)
- Completed course in linear algebra (SF1624, SF1672 or equivalent)
- Completed course in mathematical statistics (SF1918, SF1922 or equivalent)
Recommended prerequisites
Completed courses in optimization (SF1811, SF1861 or equivalent) and probability theory (SF2940 or equivalent).
Equipment
Literature
Hult, Lindskog, Hammarlid and Rehn: Risk and Portfolio Analysis: Principles and Methods, Springer
Examination and completion
If the course is discontinued, students may request to be examined during the following two academic years.
Grading scale
Examination
- TEN1 - Examination, 7.5 credits, grading scale: A, B, C, D, E, FX, F
Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.
The examiner may apply another examination format when re-examining individual students.
Opportunity to complete the requirements via supplementary examination
Opportunity to raise an approved grade via renewed examination
Examiner
Ethical approach
- All members of a group are responsible for the group's work.
- In any assessment, every student shall honestly disclose any help received and sources used.
- In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.