MA311-6-SP: MATHEMATICS OF PORTFOLIOS
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)
|Module is taught during the following terms
The module introduces the basic models and mathematical methods underlying modern portfolio management.
- 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.
100 per cent Exam Mark
Information about coursework deadlines can be found in the "Coursework Information" section of the Current Students, Useful Information Maths web pages: Coursework Information
Exam Duration and Period
2:00 hour exam during Summer Examination period.
Available to Socrates /IP students spending all relevant terms at Essex.
- Main Text:
D.G. Luenberger, "Investment Science", Oxford University Press.
R. Dobbins, S.F. Witt and J. Fielding, "Portfolio Theory and Investment Management", Blackwell.
E.J. Elton and M.J. Gruber, "Modern Portfolio Theory and Investment Analysis", Wiley.
H.M. Markowitz, "Portfolio Selection", Wiley
D. Blake, "Financial Market Analysis", Wiley