This module is not currently running in 2024 to 2025.
Lecture syllabus: 40 lectures (Spring Term)
Describe, perform calculations using and critically evaluate different measures of investment risk; critically evaluate the assumptions underlying the investment returns.
Describe, perform calculations using and discuss the assumptions of mean-variance portfolio theory and its principal results.
Describe utility functions, first and second order dominance, and perform calculations using commonly used utility functions to compare investment opportunities.
Describe, perform calculations using and discuss the concepts, construction and properties of single and multifactor models of asset returns.
Describe and perform calculations using asset pricing models, critically evaluating the principal results and assumptions and limitations of such models.
Discuss the various forms of the Efficient Markets Hypothesis and discuss the evidence for and against the hypothesis.
Demonstrate a knowledge and understanding of stochastic models of the behaviour of security prices and discuss the main theoretical and practical issues in setting up such models.
Define and apply the main concepts of Brownian motion (or Wiener Processes).
Demonstrate a good understanding of stochastic differential equations, the Ito integral, diffusion and mean-reverting processes and the Ornstein-Uhlenbeck process.
Contact hours 40
Total study hours 150
Only available to students on programmes owned by The School of Engineering and Digital Arts
Open-book examination (75%)
Continuous assessment (25%).
See the library reading list for this module (Canterbury)
Show a systematic knowledge, understanding and critical awareness of the actuarial theory in the syllabus.
Show a comprehensive understanding of the complex techniques applicable to solve problems in the syllabus.
Appreciate recent developments and methodologies in Financial Economics and the links between the theory of Financial Economics and their practical application and to critically evaluate such methodologies.
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