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Unit of study_

FINC6009: Portfolio Theory and its Applications

Semester 2, 2020 [Normal day] - Camperdown/Darlington, Sydney

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.

Unit details and rules

Unit code FINC6009
Academic unit Finance
Credit points 6
FINC5001 or FINC6000
Assumed knowledge


Available to study abroad and exchange students


Teaching staff

Coordinator Hamish Malloch,
Lecturer(s) Hamish Malloch,
Tutor(s) Glenn Kentwell,
Type Description Weight Due Length
Final exam (Take-home short release) Type D final exam Final exam
Take home exam
30% Formal exam period 3 hours
Outcomes assessed: LO1 LO2 LO4
Assignment Assignment 1
Computational assignment
25% Week 06
Due date: 02 Oct 2020 at 17:00

Closing date: 11 Oct 2020
Completed template
Outcomes assessed: LO1 LO2 LO3
In-semester test (Open book) Type C in-semester exam Mid semester exam
Online exam
20% Week 07
Due date: 12 Oct 2020 at 18:00
50 minutes
Outcomes assessed: LO1 LO2 LO3 LO4
Assignment Assignment 2
Written assignment
25% Week 10
Due date: 06 Nov 2020 at 17:00

Closing date: 15 Nov 2020
5 pages
Outcomes assessed: LO1 LO2 LO3 LO4
Type C in-semester exam = Type C in-semester exam ?
Type D final exam = Type D final exam ?

Assessment summary

  • Mid semester exam: This online exam will cover all material up to and including week 6. 
  • Assignment 1: Students will be required to perform a variety of calculations and report those findings. It may cover topics up to and including week 6.
  • Assignment 2: Students will work individually to address real world investment problems. Students will be required to prepare a written report detailing their solution to the provided problem.
  • Final exam: This exam will cover all material in the unit. It will consist of calculation/derivation type questions as well as short answer and discussion questions.

Detailed information for each assessment can be found on Canvas.

Assessment criteria

The University awards common result grades, set out in the Coursework Policy 2014 (Schedule 1).

As a general guide, a high distinction indicates work of an exceptional standard, a distinction a very high standard, a credit a good standard, and a pass an acceptable standard.

Result name

Mark range


High distinction

85 - 100

Awarded when you demonstrate the learning outcomes for the unit at an exceptional standard, as defined by grade descriptors or exemplars outlined by your faculty or school. 


75 - 84

Awarded when you demonstrate the learning outcomes for the unit at a very high standard, as defined by grade descriptors or exemplars outlined by your faculty or school.


65 - 74

Awarded when you demonstrate the learning outcomes for the unit at a good standard, as defined by grade descriptors or exemplars outlined by your faculty or school.


50 - 64

Awarded when you demonstrate the learning outcomes for the unit at an acceptable standard, as defined by grade descriptors or exemplars outlined by your faculty or school. 


0 - 49

When you don’t meet the learning outcomes of the unit to a satisfactory standard.

For more information see

For more information see guide to grades.

Late submission

In accordance with University policy, these penalties apply when written work is submitted after 11:59pm on the due date:

  • Deduction of 5% of the maximum mark for each calendar day after the due date.
  • After ten calendar days late, a mark of zero will be awarded.

Academic integrity

The Current Student website  provides information on academic integrity and the resources available to all students. The University expects students and staff to act ethically and honestly and will treat all allegations of academic integrity breaches seriously.  

We use similarity detection software to detect potential instances of plagiarism or other forms of academic integrity breach. If such matches indicate evidence of plagiarism or other forms of academic integrity breaches, your teacher is required to report your work for further investigation.

You may only use artificial intelligence and writing assistance tools in assessment tasks if you are permitted to by your unit coordinator, and if you do use them, you must also acknowledge this in your work, either in a footnote or an acknowledgement section.

Studiosity is permitted for postgraduate units unless otherwise indicated by the unit coordinator. The use of this service must be acknowledged in your submission.

Simple extensions

If you encounter a problem submitting your work on time, you may be able to apply for an extension of five calendar days through a simple extension.  The application process will be different depending on the type of assessment and extensions cannot be granted for some assessment types like exams.

Special consideration

If exceptional circumstances mean you can’t complete an assessment, you need consideration for a longer period of time, or if you have essential commitments which impact your performance in an assessment, you may be eligible for special consideration or special arrangements.

Special consideration applications will not be affected by a simple extension application.

Using AI responsibly

Co-created with students, AI in Education includes lots of helpful examples of how students use generative AI tools to support their learning. It explains how generative AI works, the different tools available and how to use them responsibly and productively.

WK Topic Learning activity Learning outcomes
Week 01 Introduction and maths/stats review Lecture (2 hr)  
Introduction and maths/stats review Tutorial (1 hr)  
Week 02 Characterising risky investment opportunities Lecture (2 hr)  
Characterising risky investment opportunities Tutorial (1 hr)  
Week 03 Computing efficient portfolios Lecture (2 hr)  
Computing efficient portfolios Tutorial (1 hr)  
Week 04 Capital asset pricing model (CAPM) Lecture (2 hr)  
Capital asset pricing model (CAPM) Tutorial (1 hr)  
Week 05 Index models Lecture (2 hr)  
Index models Tutorial (1 hr)  
Week 06 Arbitrage pricing theory Lecture (2 hr)  
Arbitrage pricing theory Tutorial (1 hr)  
Week 07 Mid-semester exam review Tutorial (1 hr)  
Week 08 Traditional quantitative equity portfolio management (QEPM) Lecture (2 hr)  
Traditional quantitative equity portfolio management (QEPM) Tutorial (1 hr)  
Week 09 The Black-Litterman framework Lecture (2 hr)  
The Black-Litterman framework Tutorial (1 hr)  
Week 10 Portfolio performance evaluation Lecture (2 hr)  
Portfolio performance evaluation Tutorial (1 hr)  
Week 11 Behavioural finance and efficient markets Lecture (2 hr)  
Behavioural finance and efficient markets Tutorial (1 hr)  
Week 12 Hedge funds and their strategies Lecture (2 hr)  
Hedge funds and their strategies Tutorial (1 hr)  

Attendance and class requirements

Lecture recordings: All lectures and seminars are recorded and will be available on Canvas for student use. Please note the Business School does not own the system and cannot guarantee that the system will operate or that every class will be recorded. Students should ensure they attend and participate in all classes.

Study commitment

Typically, there is a minimum expectation of 1.5-2 hours of student effort per week per credit point for units of study offered over a full semester. For a 6 credit point unit, this equates to roughly 120-150 hours of student effort in total.

Required readings

All readings for this unit can be accessed through the Library eReserve, available on Canvas.

  • Bodie, Kane, Marcus, "Investments", McGraw-Hill Irwin, 11th edition, 2017.

Learning outcomes are what students know, understand and are able to do on completion of a unit of study. They are aligned with the University's graduate qualities and are assessed as part of the curriculum.

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.

Graduate qualities

The graduate qualities are the qualities and skills that all University of Sydney graduates must demonstrate on successful completion of an award course. As a future Sydney graduate, the set of qualities have been designed to equip you for the contemporary world.

GQ1 Depth of disciplinary expertise

Deep disciplinary expertise is the ability to integrate and rigorously apply knowledge, understanding and skills of a recognised discipline defined by scholarly activity, as well as familiarity with evolving practice of the discipline.

GQ2 Critical thinking and problem solving

Critical thinking and problem solving are the questioning of ideas, evidence and assumptions in order to propose and evaluate hypotheses or alternative arguments before formulating a conclusion or a solution to an identified problem.

GQ3 Oral and written communication

Effective communication, in both oral and written form, is the clear exchange of meaning in a manner that is appropriate to audience and context.

GQ4 Information and digital literacy

Information and digital literacy is the ability to locate, interpret, evaluate, manage, adapt, integrate, create and convey information using appropriate resources, tools and strategies.

GQ5 Inventiveness

Generating novel ideas and solutions.

GQ6 Cultural competence

Cultural Competence is the ability to actively, ethically, respectfully, and successfully engage across and between cultures. In the Australian context, this includes and celebrates Aboriginal and Torres Strait Islander cultures, knowledge systems, and a mature understanding of contemporary issues.

GQ7 Interdisciplinary effectiveness

Interdisciplinary effectiveness is the integration and synthesis of multiple viewpoints and practices, working effectively across disciplinary boundaries.

GQ8 Integrated professional, ethical, and personal identity

An integrated professional, ethical and personal identity is understanding the interaction between one’s personal and professional selves in an ethical context.

GQ9 Influence

Engaging others in a process, idea or vision.

Outcome map

Learning outcomes Graduate qualities

This section outlines changes made to this unit following staff and student reviews.

No changes have been made since this unit was last offered.


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