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SF2976 Portfolio Theory, Advanced Course 7.5 credits

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Information per course offering

Course offerings are missing for current or upcoming semesters.

Course syllabus as PDF

Please note: all information from the Course syllabus is available on this page in an accessible format.

Course syllabus SF2976 (Autumn 2007–)
Headings with content from the Course syllabus SF2976 (Autumn 2007–) are denoted with an asterisk ( )

Content and learning outcomes

Course contents

Valuation, utility maximization and investment in single period models, The Markowitz model, CAPM, ALM (Asset and Liability Management), Bayesian approach to portfolio choice, the Black-Litterman model, Risk budgeting, portfolio resampling, Scenario optimisation, Benchmark-based portfolio choice, Applications.

Intended learning outcomes

To pass the course, the student should be able to do the following:

  • Account for and determine optimal portfolios in single period models.
  • Account for and determine the statistical properties of asset return series and analyse robustness of the underlying portfolios with regard to model misspecification.
  • Implement the different optimisation methods for real financial time series within a strategic and tactical asset allocation exercise.

To receive the highest grade, the student should in addition be able to do the following:

  • Combine all the concepts and methods mentioned above in order to solve more complex problems.

Literature and preparations

Specific prerequisites

SF2942 Portfolio Theory and Risk Management.

Literature

You can find information about course literature either in the course memo for the course offering or in the course room in Canvas.

Examination and completion

Grading scale

A, B, C, D, E, FX, F

Examination

  • LAB2 - Laboratory Work, 1.5 credits, grading scale: P, F
  • TENA - Examination, 4.5 credits, grading scale: A, B, C, D, E, FX, F
  • LAB1 - Laboratory Work, 1.5 credits, grading scale: P, 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.

If the course is discontinued, students may request to be examined during the following two academic years.

Other requirements for final grade

Written examination (7,5 university credits).

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

SCI/Mathematics

Education cycle

Second cycle