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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

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