Studiehandboken 06/07 del 4 - KTH

KTH Studiehandbok 2006-2007
Stokastiska kassaflöden: Effektiva portföljer, Markovitz-modellen, En- och
två-fondssatserna, CAPM, Faktor-modeller, APT, Nyttoteori, Linjär
prissättning.
Översikt om finansiella derivat, såsom ``futures'', ``swaps'' och optioner.
Generella kassaflöden: Optimal tillväxt.
Riskvärdering: Portföljsimulering, Koherenta riskmått, Value at Risk.
Förkunskaper
Kunskaper i optimeringslära motsvarande 5B1712 eller 5B1722 och
kunskaper i matematisk statistik motsvarande 5B1501, 5B1504 eller 5B1506.
Kursfordringar
En skriftlig tentamen (TEN), 4 poäng. Frivilliga hemtal.
Kurslitteratur
D.G. Luenberger, Investment Science (Oxford University Press), samt
kompletterande material från institutionen.
- calculate a minimum variace hedge by
means of a future,
- know the concepts of optimal growth
and log-optimal pricing,
- know how to perform a computer
simulation of the development of a
portfolio of assets,
- account for the need of and the
principles of coherent risk measures,
- account for the concept Value-at-Risk
and its weaknesses.
Syllabus
Deterministic cash flows: Basic theory
of interest, bonds, interests' term
structure
Random cash flows: Mean-variance
portfolio theory, the Markovitz model,
One- and Two-fund theorems, CAPM,
factor-models, APT, utility theory,
linear pricing.
Overview of financial derivaties, such as
futures, swaps and options.
Generel cash flows: Optimal growth.
Risk evaluation: Simulation of
portfolios, Coherent risk
measures,Value at Risk.
Prerequisites
Optimization corresponding to 5B1712
or 5B1722 and Mathematical statistics
corresponding to 5B1501, 5B1504 or
5B1506.
Requirements
One written exam (TEN), 4credits.
Voluntary homework sets.
Required Reading
Literature D.G. Luenberger, Investment
Science (Oxford University
Press), and complementary material
from the department.
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5B Matematik