Course information

SF2942 Portfolio Theory and Risk Management 7.5 credits

Portföljteori och riskvärdering

About course

Course information

Course development and history

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Course 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

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Literature and preparations

Specific prerequisites *

  • 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

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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.

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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Examiner

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

SCI/Mathematics

Main field of study *

Industrial Management, Mathematics

Education cycle *

Second cycle

Add-on studies

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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.