Interest rate theori, bonds, term structures, immunization, efficient portfolios, Markowitz portfolio analysis, the one- and two-fund theorems, CAPM, factor models, portfolio analysis with expected utility theory, and the theory of risk measures and their use in portfolio analysis.
SF2974 Portfolio Theory and Risk Management 6.0 credits
This course has been discontinued.
Last planned examination: Autumn 2015
Decision to discontinue this course:
No information inserted
Course offerings are missing for current or upcoming semesters.
Headings with content from the Course syllabus SF2974 (Autumn 2009–) are denoted with an asterisk ( )
Content and learning outcomes
Course contents
Intended learning outcomes
The aim of the course is that the student should master the methods and concepts of classical portfolio theory, basic interest rate theory and the measurement and management of risk. The student should also be able to, according to different criteria, contruct optimal portfolios of financial assets and instruments for financial risk management.
Literature and preparations
Specific prerequisites
Optimization corresponding to SF1811/5B1712 and Mathematical statistics corresponding to SF1901 (5B1501).
Recommended prerequisites
No information inserted
Equipment
No information inserted
Literature
Material from the department.
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, 6.0 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 (6 university credits). Voluntary homework sets.
Opportunity to complete the requirements via supplementary examination
No information inserted
Opportunity to raise an approved grade via renewed examination
No information inserted
Examiner
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 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
Supplementary information
Replaced by SF2942 from 11/12.