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SF2974 Portfolio Theory and Risk Management 6.0 credits

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.

Course offering missing for current semester as well as for previous and coming semesters
Headings with content from the Course syllabus SF2974 (Autumn 2009–) are denoted with an asterisk ( )

Content and learning outcomes

Course contents

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.

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.

Course disposition

No information inserted

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 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 SF2974

Offered by

SCI/Mathematics

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.