F79PA Portfolio Theory & Asset Models

Dr Wei WeiDr Adrian Nathai

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