37008 Quantitative Portfolio Analysis

8cp; 3hpw (seminars, on campus), online learning
Requisite(s): 24 credit points of completed study in spk(s): STM91543 Core Subjects (Mathematics)
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 25876 Quantitative Portfolio Analysis
Postgraduate

Description

This subject equips students with a rigorous understanding of portfolio analysis through quantitative tools. It covers a comprehensive mathematical treatment of the Markowitz framework for portfolio optimisation, the index-tracking problem, Arbitrage Pricing Theory (APT) and factor models for asset pricing, portfolio performance measurement, portfolio risk measures, and capital allocation. The subject also tackles a continuous-time portfolio optimisation problem (the Merton problem) via a stochastic optimal control approach. The theoretical discussion of concepts is complemented by practical problems involving statistical estimation and computational implementation.

Detailed subject description.

Access conditions

Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at access conditions and My Student Admin.