Module Catalogues, Xi'an Jiaotong-Liverpool University   
Module Code: MTH409
Module Title: Portfolio Theory and Risk Management
Module Level: Level 4
Module Credits: 5.00
Academic Year: 2019/20
Semester: SEM1
Originating Department: Mathematical Sciences
Pre-requisites: N/A
To equip students with Quantitative Methods and Techniques for Investment Analysis.
Learning outcomes 
a) Describe Linear Regression and Correlation;

b) Describe Multiple Regression, Correlation and issues in Regression Analysis;

c) Decision Making under Uncertainty;

d) Fundamental Factor Models;

e) Time Series Analysis;

f) Fundamental Factor Models & Portfolio Concepts;

g) Discuss the relationship between CAPM and APT that is specified with fundamental factor models;

h) Explain the problem with using historical beta and how fundamental beta attempts to address this problem;

i) Compare and contrast statistical factor models with both macroeconomic and fundamental factor models;

j) Distinguish between the raw descriptors commonly used in macroeconomic factor models and the descriptors used in fundamental factor models;

k) Explain how fundamental factor models can be used in portfolio management.

Method of teaching and learning 
Lectures and In-class exercises
Chapter 1 to 10 of (1)
Additional exercises
Delivery Hours  
Lectures Seminars Tutorials Lab/Prcaticals Fieldwork / Placement Other(Private study) Total


Sequence Method % of Final Mark
1 Assignments 10.00
2 Mid-Term 30.00
3 Final Exam 60.00

Module Catalogue generated from SITS CUT-OFF: 12/10/2019 12:09:22 AM