MMA705 Portfolio Theory II

The course is a continuation of Portfolio Theory I. The Capital Asset Pricing Model (CAPM), and Arbitrage Pricing Theory (APT) will be surveyed in more detail during the semester. In addition, the students will study the valuation of assets; the inputs needed for construction of ex-ante optimal financial portfolios. Asset valuation will focus on equity instruments, using various techniques. Performance measurement and attribution will be examined through risk-adjusted methods. Market timing and style investing will be discussed. Other topics surrounding portfolio allocation will include: Passive versus active management, market efficiency, value vs. growth, Roll's criticism, performance persistency, alternative investments, benchmarks, impact of transactions costs and peer groups. Risk management will be addressed via Value-at-Risk. There will be a project during the course.

Course information

Course syllabus and literature

Course materials


Teacher (spring14)

Examiner: Lars Pettersson