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.
Details
Academic unit | Finance |
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Unit code | FINC6009 |
Unit name | Portfolio Theory and its Applications |
Session, year
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Semester 2, 2021 |
Attendance mode | Normal day |
Location | Camperdown/Darlington, Sydney |
Credit points | 6 |
Enrolment rules
Prohibitions
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None |
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Prerequisites
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FINC5001 or FINC6000 |
Corequisites
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None |
Available to study abroad and exchange students | Yes |
Teaching staff and contact details
Coordinator | Hamish Malloch, hamish.malloch@sydney.edu.au |
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Lecturer(s) | Hamish Malloch , hamish.malloch@sydney.edu.au |
Tutor(s) | Christoph Meier , christoph.meier@sydney.edu.au |
Glenn Kentwell, glenn.kentwell@sydney.edu.au |