Skip to main content

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.

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.

Course disposition

No information inserted

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).


No information inserted


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


  • 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


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

Offered by

Main field of study

Industrial Management, Mathematics

Education cycle

Second cycle

Add-on studies

No information inserted


Nacira Agram (