Innholdsfortegnelse

Emnet er tilknyttet følgende studieprogram

Undervisningsspråk

English.

Anbefalte forkunnskaper

Knowledge of math calculus and basics of optimization, statistics, and R programming. Builds upon parallel courses: ME-431-1 Quantitative Methods in Finance and SE-419-1 Financial Econometrics

Læringsutbytte

Upon successful completion of this course the students should be able to
  • Discuss the trade-off between the risk and reward
  • Explain the optimal capital allocation between the risky and risk-free assets
  • Master the mathematics of mean-variance portfolio theory and construction of efficient portfolios
  • Compute and analyze financial asset returns
  • Construct mean-variance efficient portfolios using real financial data
  • Fully understand the mathematics of the capital market equilibrium including the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT)
  • Estimate the single index and multifactor models using ordinary least squares
  • Evaluate and compare performances of financial portfolios

Innhold

The aim of this course is to provide a detailed treatment of the main theoretical foundations of modern investment theory and give students necessary skills in applying theoretical models using real-life data. On the theoretical side, the course presents in-depth coverage of the relationship between the risk and return, mean-variance portfolio theory, Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT), and portfolio performance evaluation. A particular emphasis is placed on the derivation of the theoretical asset pricing models and a rigorous mathematical argumentation. On the practical side, using the open source R statistical programming language, the students learn how to retrieve and analyse financial data, implement all theoretical models considered in the course, and evaluate the performance of financial portfolios.

Undervisnings- og læringsformer

The course consists of lectures and group-work sessions. Estimated workload is about 200 hours.

Vilkår for å gå opp til eksamen

Approved mandatory assignments. More information is available in Canvas.

Eksamen

Individual written assignment (home exam) counts for 40 %, and 3-hour written examination counts for 60 % of the final grade. Grading by letters.

Studentevaluering

End of course evaluation in accordance with the quality system for education, chapter 4.1.

Reduksjon i studiepoeng

Innholdet i dette emnet dekkes helt eller delvis av annet emne. Tas ett av disse emnene i tillegg, reduseres studiepoengene som følger:

Emne Studiepoengreduksjon
BE-419 – Finance Theory. 2.5
BE-506 – Computational Finance and Portfolio Mangement. 2.5
Sist hentet fra FS (Felles studentsystem) 15. okt. 2026 11:28:11