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Module details

MA311-6-SP: MATHEMATICS OF PORTFOLIOS

Year: 2014/15
Department: Mathematical Sciences
Essex credit: 15
ECTS credit: 7.5
Available to Study Abroad / Exchange Students: Yes
Pre-requisites: (MA114 OR IA154) AND (MA207 OR EC251)

Staff
Supervisor:  
Teaching Staff: Dr. Haslifah Hashim, email hhashim@essex.ac.uk  
Contact details: Miss Camilla Thomsen, Departmental Administrator, Tel. 01206 873040, email cthomsj (Non essex users should add @essex.ac.uk to create the full email address) 

Module is taught during the following terms
AutumnnoSpringyesSummerno

Module Description

The module introduces the basic models and mathematical methods underlying modern portfolio management.

Syllabus

- Fixed income securities.

- The term structure of interest rates.

- Markowitz portfolio theory.

- The Capital Asset Pricing Model.

- Factor models and arbitrage pricing theory.

On completion of the module students should be able to:

- formulate financial decision problems mathematically and identify an appropriate method of solution;

- find mean-variance optimal portfolios for small-scale one-period problems;

- appreciate the limitations of the models studied;

- interpret correctly their results from any calculations.

Learning & Teaching Methods

The module runs at 3 hours per week. There are 5 lectures and one class in every fortnight.
In the Summer term 3 revision lectures are given.

Assessment

100 per cent Exam Mark

Other details:
Information about coursework deadlines can be found in the "Coursework Information" section of the Current Students, Useful Information Maths web pages: Coursework and Test Information

Exam Duration and Period

2:00 hour exam during Summer Examination period.

Other information

Available to Socrates /IP students spending all relevant terms at Essex.

Bibliography

  • Recommended Reading
  • D.G. Luenberger, Investment Science. Oxford University Press.
  • Supplementary texts:
  • R. Dobbins, S.F. Witt & J. Fielding, Portfolio Theory and Investment Management. Blackwell.
  • E.J. Elton & M.J. Gruber, Modern Portfolio Theory and Investment Analysis. Wiley.
  • H.M. Markowitz, Portfolio Selection. Wiley.
  • D. Blake, Financial Market Analysis, Wiley

Further information

Should you have any queries about the Module Directory pages, please contact the Course Record Team, Systems Administration Office, Academic Section; email: crt (non Essex users should add @essex.ac.uk)