SF2976 Portfolio Theory, Advanced Course 7.5 credits

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.

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.

SF2942 Portfolio Theory and Risk Management.

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

• LAB1 - Laboratory Work, 1.5 credits, grading scale: P, F
• LAB2 - Laboratory Work, 1.5 credits, grading scale: P, F
• TENA - Examination, 4.5 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.

Written examination (7,5 university credits).

Boualem Djehiche

• 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.