MA311-6-SP: MATHEMATICS OF PORTFOLIOS
Year: 2013/14
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 |
| Autumn |  | Spring |  | Summer | |
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 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
- Main Text:
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D.G. Luenberger, "Investment Science", Oxford University Press.
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Supplementary Texts:
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R. Dobbins, S.F. Witt and J. Fielding, "Portfolio Theory and Investment Management", Blackwell.
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E.J. Elton and M.J. Gruber, "Modern Portfolio Theory and Investment Analysis", Wiley.
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H.M. Markowitz, "Portfolio Selection", Wiley
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D. Blake, "Financial Market Analysis", Wiley
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