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The aim of the course is give a deeper understanding of
portfolio theory as well as to give an overview of some practical
problems
and their solutions.
Prerequisities:
SF 2975 Portfolio Theory and Risk Valuation or equivalent
course.
Examination:
There will be a written examination on Monday December 19, 2011,
14-19. Registration for the written examination via "mina sidor"/"my pages"
is required.
Registration requests otherwise addressed will not be processed.
Grades are set according to the quality of the written examination.
Grades are given in the range A-F, where A is the best and F means
failed, and Fx.
Fx means that you have the right to a complementary examination
(to reach the grade E).
The criteria for Fx is a grade F on the exam, and that an isolated part
of the course can be
identified where you have shown a particular lack of
knowledge and that the examination after a complementary examination on
this
part can be given the grade E.
One additional written examination will be given.
Homework set:
There will be one homework set with two parts. You may work with the
homework
in groups of up to four students.
Each homework set will be graded with Pass or Fail. A failed homework
must be corrected within a week from the day it is handed out with the
grade F. If not, the
student will fail this year's homework. A homework handed in on time
and given the grade Pass
will give 1.5 credits (LAB 1) as well as points on the first exam. Each
homework gives at most 5
points which are substituted for the result on the first problem (which
consists of two parts) on the exam. To
obtain the grade Pass and the points on the exam the student must
present the homework in a report which clearly explains how the
problems were solved.
Each
report,
printed on paper, must be handed in on time in order to be accepted.
All the instructions on the homework must be followed in order to pass.
Project:
Students must work with group projects
during the course. Groups of up to four students are allowed. The
projects will be presented in a report and
during a
seminar. A well-presented project will give 1.5 credits (LAB 2) as well
as up to 20 points on the
first exam, substituted for the result on the second and third problem
on the exam.
The projects should typically be based on research articles in areas
related to
the course, and include theory not covered in the course as well as
numerical examples and/or simulations.
Students must find their own
project topics.
Course literature:
Scherer, B., Portfolio Construction and Risk Budgeting, Risk Books
(2007).
Recommended literature:
Armerin, F., An Introduction to the Theory of Risky Investments.
Lecture Notes
(2004). Available from "Studentexpeditionen", Lindstedsvägen 25.
Sharpe, W., Investors and Markets. Portfolio Choice, Asset Prices &
Investment. Princeton
University Books (2006).
Preliminary plan
(BD=Boualem Djehiche, AH=Ali Hamdi)
| Day |
Date |
Time |
Place |
Topic |
Lecturer |
| Tu |
25/10 |
13-15 |
Q31
|
Introduction, portfolio choice
|
BD |
| Tu |
1/11
|
13-15 |
Q31 |
Resampling
|
AH
|
We
|
2/11
|
10-12 |
Q21
|
Risk budgeting
|
BD
|
Tu
|
8/11 |
13-15 |
Q31
|
Deviations from normality
|
BD
|
| We |
9/11 |
10-12 |
Q21 |
Bayesian methods, Black-Litterman
|
BD
|
Tu
|
15/11
|
13-15 |
Q31 |
Bayesian methods, Black-Litterman |
BD
|
| We |
16/11 |
10-12 |
Q21 |
Scenario optimization
|
AH
|
Tu
|
22/11
|
13-15 |
Q31
|
Scenario optimization
|
AH
|
| We |
23/11
|
10-12 |
Q21
|
Portfolio construction with transaction costs
|
BD
|
Tu
|
29/11 |
13-15 |
Q31
|
Benchmark-relative optimization |
BD
|
| We |
30/11
|
10-12 |
Q21 |
Project presentations |
AH
|
Tu
|
6/12
|
13-15 |
Q31 |
Project presentations |
AH
|
We
|
7/12
|
10-12
|
Q21
|
Project presentations |
AH
|
Mo
|
12/12
|
10-12
|
Q34
|
Project presentations |
AH
|
Welcome, we hope you will enjoy the course!
Boualem and Ali
To course
web page
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