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Courses / Modules / MATH6179 Financial Portfolio Theory

Financial Portfolio Theory

CATS points
7.5
ECTS points
3.75
Level
Level 7
Module lead
Hou-Duo Qi

Module overview

The module aims to introduce the students to the basics of portfolio theory. Beginning with a summary of the reasons why both private investors and large institutional investors might wish to own share portfolios, the module progresses to consider how risk and return vary as share prices move and introduces the student to the basics of Markowitz portfolio theory. Illustrative two-asset cases will then be considered before the risk/reward diagram for an N asset portfolio is examined. The notions of

short selling and riskless assets will then be introduced to the student and incorporated into the theory. Finally, the student will learn how to solve the general Markowitz portfolio problem to

determine the Optimum portfolio, the Capital Market Line and the Market Price of Risk. If time permits, discussion will also take place of more advanced models of portfolio theory.

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