SF2942 Portfolio Theory and Risk Management 7.5 credits
Portföljteori och riskvärdering
Show course information based on the chosen semester and course offering:
Offering and execution
No offering selected
Select the semester and course offering above to get information from the correct course syllabus and course offering.
Course information
Content and learning outcomes
Course contents *
Interest rate theory, bonds, term structures, immunization, 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 should demonstrate a good understanding for the concepts and methods of the course and use this understanding to solve problems.
Course Disposition
No information inserted
Literature and preparations
Specific prerequisites *
Passed courses in analysis in one and several variables, linear algebra, differential equations, mathematical statistics, numerical analysis
A passed course in Optimization is recommended
Recommended prerequisites
No information inserted
Equipment
No information inserted
Literature
Hult, Lindskog, Hammarlid and Rehn: Risk and Portfolio Analysis: Principles and Methods, Springer
Examination and completion
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.
Other requirements for final grade *
One written exam (7.5 university credits). Voluntary homework sets.
Opportunity to complete the requirements via supplementary examination
No information inserted
Opportunity to raise an approved grade via renewed examination
No information inserted
Examiner
Further information
Course web
Further information about the course can be found on the Course web at the link below. Information on the Course web will later be moved to this site.
Course web SF2942Offered by
Main field of study *
Industrial Management, Mathematics
Education cycle *
Second cycle
Add-on studies
No information inserted
Contact
Anja Janssen (anjaj@kth.se)
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.
Supplementary information
Replaces SF2974.