Lecturer: Henrik Shahgholian, henriksh@kth.se


Teaching assistant: Sadna Sajadini, sadna@kth.se


Course web page: http://www.math.kth.se/matstat/gru/sf2942/


Course literature:

Risk and Portfolio Analysis: Principles and Methods, H. Hult, F. Lindskog, O. Hammarlid, and C.-J.

Rehn. Springer Series in Operations Research and Financial Engineering, Springer Verlag, 2012.

ISBN 978-1-4614-4102-1. The course is based on Part I, Chapters 1-6, of the book.


Prerequisites:

Optimization: SF1811/5B1712 or equivalent         

Math Statistics: SF1901 (5B1501) or equivalent.

(See: http://www.kth.se/student/kurser/kurs/SF2942 )


Examination:

There will be a written exam on Oct 25, 14:00-19:00. 

Registration for the exam is compulsory. You can register at MyPages. Grades are based on the final exam and given in the range A-F, and Fx. The grade Fx gives you the right to a complementary examination to reach the grade E. The criteria for Fx is F and that an isolated part of the course can be identified where you have shown particular lack of knowledge and that the examination after a complementary examination on this part can give the grade E.


Lectures:

There will be two types of lectures listed in the detailed plan for the course. At Theory-example Sessions the basic theory will be presented, and occasionally some examples are given. Not all topics will be covered in the lectures so additional reading is required. At Example-Exercise Sessions some particularly relevant examples and applications will be highlighted, and a few exercises at the end of each chapter will be discussed.


Projects:

Each chapter of the book ends with one or several projects; labelled Project 1-6. The projects are intended as open ended exercises suitable for deeper investigation of some selected topics. Participation in the projects is voluntary and not a requirement. Full participation in the projects can give up to 5 bonus points for the final exam. To obtain the bonus points the following criteria must be met:


Homework:

A set up of three homework is suggested in order for you to receive bonuses:

Homework 1: Exercise 1.5: a), b), c), page 30.  Due Sept.  19

Homework 2: Exercise 3.4, page 82.                 Due  Sept.  27

Homework 3: Exercise 5.4, page 156.               Due Oct.     15


Project work:

  1. •You must sign up for participation on the project list  available at the lectures by  the ned of the first week.

  2. •You will be randomly assigned to a project group that will work on  one of the projects.

• You must work actively on the project together with the other group members and be prepared to account for your own and other group members’ contribution.

• You must, together with your project group, prepare a 20 min oral presentation of your project.

• You must participate in the oral presentation of the project and be prepared to answer questions. The project presentations will take place during the last three lectures.


Examination:

The examination consists of a final exam, with 5 questions.  you can count your bonus points into the final according to:

  1. 1)The project gives you an additional credit of 3 points.

  2. 2) The homework gives you the possibility of replacing problem 1 with your points from homework.

The exam has a total point of 4*5=20. The level for  grades will be announced on the exam.


The Bonus system counts for final and the re-exam for this round.

Projects:

If you have yet not be assigned a project, and are interested in doing a project, email me:

henriksh@math.kth.se