Module Title
Portfolio Theory and Risk Management

Module Level
Level 4

Module Credits
5.00

Academic Year
2024/25

Semester
SEM1

To equip students with Quantitative Methods and Techniques for Investment Analysis.

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.

Lectures and In-class exercises