Course co-ordinator(s): Dr Wei Wei (Edinburgh), Dr Adrian Nathai (Malaysia).
Aims:
To introduce asset pricing and portfolio selection models. This course covers the first half of the material in Subject CT8 of the Institute/Faculty of Actuaries examinations.
Detailed Information
Course Description: Link to Official Course Descriptor.
Pre-requisite course(s): F78PA Probability and Statistics A & F78AB Actuarial and Financial Mathematics .
Location: Edinburgh, Malaysia.
Semester: 1.
Syllabus:
- Utility theory
- Stochastic dominance
- Measures of investment risk
- Portfolio theory
- Single-period models of asset returns
- Capital asset pricing model
- Arbitrage pricing theory
- Efficient market hypothesis (optional)
Reading list:
- Joshi & Paterson
Introduction to Mathematical Portfolio Theory, 1st edition.
Cambridge University Press - Elton, E., Gruber, M., Brown, S. & Goetzmann, W.
Modern Portfolio Theory and Investment Analysis, 8th edition.
Wiley, New Jersey. (older versions are also useful)
SCQF Level: 9.
Other Information
Help: If you have any problems or questions regarding the course, you are encouraged to contact the course leader.
Canvas: further information and course materials are available on Canvas