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SF2942 Portfolio Theory and Risk Management 7.5 credits

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Choose semester and course offering

Choose semester and course offering to see current information and more about the course, such as course syllabus, study period, and application information.

Application

For course offering

Autumn 2024 Start 26 Aug 2024 programme students

Application code

51482

Headings with content from the Course syllabus SF2942 (Spring 2022–) are denoted with an asterisk ( )

Content and learning outcomes

Course contents

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.

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

No information inserted

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

A, B, C, D, E, FX, F

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

No information inserted

Opportunity to raise an approved grade via renewed examination

No information inserted

Examiner

Profile picture Camilla Johansson Landén

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

Registered students find further information about the implementation of the course in the course room in Canvas. A link to the course room can be found under the tab Studies in the Personal menu at the start of the course.

Offered by

SCI/Mathematics

Main field of study

Industrial Management, Mathematics

Education cycle

Second cycle

Add-on studies

No information inserted

Contact

Nacira Agram (nacira@kth.se)