SF2942 Portfolio Theory and Risk Management 7.5 credits

Portföljteori och riskvärdering

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Offering and execution

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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

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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

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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

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Opportunity to raise an approved grade via renewed examination

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Anja Janssen

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 SF2942

Offered by


Main field of study *

Industrial Management, Mathematics

Education cycle *

Second cycle

Add-on studies

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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.