Module Catalogues

Portfolio Theory and Risk Management

Module Title Portfolio Theory and Risk Management
Module Level Level 4
Module Credits 5.00

Aims and Fit of Module

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