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.
SF2942 Portfolio Theory and Risk Management 7.5 credits
Information per course offering
Information for Autumn 2024 Start 26 Aug 2024 programme students
- Course location
KTH Campus
- Duration
- 26 Aug 2024 - 27 Oct 2024
- Periods
- P1 (7.5 hp)
- Pace of study
50%
- Application code
51482
- Form of study
Normal Daytime
- Language of instruction
English
- Course memo
- Course memo is not published
- Number of places
Places are not limited
- Target group
- No information inserted
- Planned modular schedule
- [object Object]
- Schedule
- Part of programme
Master's Programme, Applied and Computational Mathematics, åk 1, Optional
Master's Programme, Applied and Computational Mathematics, åk 2, Optional
Master's Programme, Applied and Computational Mathematics, åk 2, FMIA, Mandatory
Master's Programme, Computer Simulations for Science and Engineering, åk 2, Conditionally Elective
Master's Programme, Industrial Engineering and Management, åk 1, FMIB, Mandatory
Master's Programme, Industrial Engineering and Management, åk 1, OSYT, Conditionally Elective
Contact
Course syllabus as PDF
Please note: all information from the Course syllabus is available on this page in an accessible format.
Course syllabus SF2942 (Spring 2022–)Headings with content from the Course syllabus SF2942 (Spring 2022–) are denoted with an asterisk ( )
Content and learning outcomes
Course contents
Intended learning outcomes
The student shall be able to formulate and apply the theoretical concepts and mathematical methods of portfolio theory and risk management.
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
No information inserted
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
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
No information inserted
Opportunity to raise an approved grade via renewed examination
No information inserted
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 room in Canvas
Registered students find further information about the implementation of the course in the course room in Canvas. A link to the course room can be found under the tab Studies in the Personal menu at the start of the course.
Offered by
Main field of study
Industrial Management, Mathematics
Education cycle
Second cycle
Add-on studies
No information inserted