SF2942 Portfolio Theory and Risk Management 7.5 credits
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.
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.
Course disposition
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.
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