Portfolio Theory and its Applications (FINC6009)

UNIT OF STUDY

This unit will cover several aspects of modern/post modern portfolio theory. An introduction to mathematical optimisation techniques in the presence of uncertainty will be covered and results from modern portfolio theory to the Capital Asset Pricing Model derived. We will also examine other popular models such as the Arbitrage Pricing Theory and Black-Litterman Model and conclude with some topical examples from industry. There is a degree of mathematical sophistication associated with this course and consequently students should be comfortable with a mathematical approach. However, the required mathematical tools will be covered in the course.

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Further unit of study information

Classes

1x 3hr seminar per week

Assessment

In class test (15%), individual assignment (15%), group assignment (20%), and final exam (50%)

Faculty/department permission required?

No

Unit of study rules

Prerequisites and assumed knowledge

FINC5001 or FINC5002 or FINC6000

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Cross-institutional study

If you are from another Australian tertiary institution you may be permitted to underake cross-institutional study in one or more units of study at the University of Sydney.

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