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Unit of study_

FINC6009: Portfolio Theory and its Applications

This unit covers several aspects of modern/post-modern portfolio theory. An introduction to mathematical optimisation techniques in the presence of uncertainty is covered and results from modern portfolio theory to the Capital Asset Pricing Model derived. The unit also examines other popular models such as the Arbitrage Pricing Theory and Black-Litterman Model and concludes with some topical examples from industry. There is a degree of mathematical sophistication associated with this unit and consequently, students should be comfortable with a mathematical approach. However, the required mathematical tools are covered in the unit.

Code FINC6009
Academic unit Finance
Credit points 6
FINC5001 or FINC6000

At the completion of this unit, you should be able to:

  • LO1. describe portfolio and investment problems in a mathematical context to enable an advanced approach to portfolio construction.
  • LO2. provide a detailed explanation of the mathematical and economic principles of risk and return and demonstrate how that relates to portfolio theory.
  • LO3. apply the principles of portfolio theory to solve practical investment problems utilising EXCEL and/or other software packages
  • LO4. contrast different approaches to portfolio theory and explain the strengths and weaknesses of the various models covered.

Unit outlines

Unit outlines will be available 2 weeks before the first day of teaching for the relevant session.