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Module details

MA311-6-SP: Mathematics of Portfolios

Year: 2015/16
Department: Mathematical Sciences
Essex credit: 15
ECTS credit: 7.5
Available to Study Abroad / Exchange Students: Yes
Full Year Module Available to Study Abroad / Exchange Students for a Single Term: No
Pre-requisites: (MA114 OR IA154) AND (MA207 OR EC251)

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

Module is taught during the following terms

Module Description

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 and 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

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.


  • 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

External Examiner Information

  • Name: Prof Lazaros Papageorgiou
  • Academic Role: Professor

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)