Interest rate theori, bonds, term structures, immunization, efficient portfolios, Markowitz portfolio analysis, the one- and two-fund theorems, CAPM, factor models, portfolio analysis with expected utility theory, and the theory of risk measures and their use in portfolio analysis.
SF2974 Portfolio Theory and Risk Management 6.0 credits
This course has been discontinued.
Last planned examination: Autumn 2015
Decision to discontinue this course:
No information insertedInformation per course offering
Course offerings are missing for current or upcoming semesters.
Course syllabus as PDF
Please note: all information from the Course syllabus is available on this page in an accessible format.
Course syllabus SF2974 (Autumn 2009–)Content and learning outcomes
Course contents
Intended learning outcomes
The aim of the course is that the student should master the methods and concepts of classical portfolio theory, basic interest rate theory and the measurement and management of risk. The student should also be able to, according to different criteria, contruct optimal portfolios of financial assets and instruments for financial risk management.
Literature and preparations
Specific prerequisites
Optimization corresponding to SF1811/5B1712 and Mathematical statistics corresponding to SF1901 (5B1501).
Recommended prerequisites
Equipment
Literature
Material from the department.
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, 6.0 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.
Other requirements for final grade
One written exam (6 university credits). Voluntary homework sets.
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.
Further information
Course room in Canvas
Offered by
Main field of study
Education cycle
Add-on studies
Supplementary information
Replaced by SF2942 from 11/12.