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Unit of Study

Portfolio Theory and its Applications
UoS Code FINC6009
Credit points 6
Offered Semester 2
Prerequisites FINC5001 or FINC5002 or FINC6000
Assumed Knowledge
Additional Information
Lectures 1x 3hr seminar per week
Assessment mid semester exam (20%), individual assignment (15%), group assignment (15%), final exam (50%)
Description This unit covers several aspects of modern/post modern portfolio theory.An introduction to mathematical optimisation techniques in the presence of uncertainty is covered and results from modern portfolio theory to the Capital Asset Pricing Model derived. The unit also examines other popular models such as the Arbitrage Pricing Theory and Black-Litterman Model and concludes with some topical examples from industry. There is a degree of mathematical sophistication associated with this unit and consequently students should be comfortable with a mathematical approach. However, the required mathematical tools are covered in the unit.