Mathematical Portfolio Theory

Module code: MA3072

This module will provide a comprehensive introduction to mathematical portfolio theory. Portfolio theory is used in the financial industry to maximise returns for a given level of risk, and in this module we will explore models of portfolio theory, including single and multi-factor models. We will take an in-depth critical look at theories of economic decision making, and their applications and limitations. Theories covered in this module include:

Rational choice theory.

  • Rational expectation theory 
  • Portfolio theory 
  • Utility theory 
  • Prospect theory 

Learning

  • 33 hours of lectures
  • 2 hours of seminars
  • 11 hours of tutorials
  • 104 hours of guided independent study

Assessment

  • Exam, 2 hours (70%)
  • Coursework (30%)