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Modern portfolio theory 712


 
Module code WTW 712
Qualification Postgraduate
Faculty Faculty of Natural and Agricultural Sciences
Module content

An introduction to Markowitz portfolio theory and the capital asset pricing model. Analysis of the deficiencies in these methods. Sensitivity based risk management. Standard methods for Value-at-Risk calculations. RiskMetrics, delta-normal methods, Monte Carlo simulations, back and stress testing.
Module credits 15.00
Prerequisites Enrolment for WTW 732 required.
Contact time 1 lecture per week
Language of tuition English
Academic organisation Mathematics and Applied Maths
Period of presentation Year
The information published here is subject to change and may be amended after the publication of this information. The General Regulations (G Regulations) apply to all faculties of the University of Pretoria. It is expected of students to familiarise themselves well with these regulations as well as with the information contained in the General Rules section. Ignorance concerning these regulations and rules will not be accepted as an excuse for any transgression.

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