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Modern portfolio theory 712


 
Modulekode WTW 712
Kwalifikasie Postgraduate
Fakulteit Faculty of Natural and Agricultural Sciences
Module-inhoud

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.
Modulekrediete 15.00
NQF Level 08
Prerequisites Enrolment for WTW 732 required.
Contact time 1 lecture per week
Language of tuition Module is presented in English
Department Mathematics and Applied Mathematics
Period of presentation Year
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