Kursussøgning, efter- og videreuddannelse – Københavns Universitet

Videresend til en ven Resize Print Bookmark and Share

Kursussøgning, efter- og videreuddannelse

Finance 2: Dynamic Portfolio Choice (Fin2)

Practical information
Study year 2016/2017
Time
Block 4
Programme level Full Degree Master
ECTS 7,5 ECTS
Course responsible
  • Rolf Poulsen (4-83807d77517e7285793f7c863f757c)
Phone: +45 35 32 06 85 office, 04.4.11
  • Department of Mathematical Sciences
Course number: NMAA09045U

Course content

See the "Knowledge" part of the learning outcome below.

Learning outcome

Competencies

  1. Formulate and analyze decision problems (investment/consumption and optimal stopping) in a stochastic multi-period setting.
  2. Analyze model consequences “with numbers”; algorithmically, experimentally or empirically. (As well as understand why these three things are different concepts.)
  3. Acquire the confidence to read presentations of the same – or almost the same – problem in the literature. Know that notation, motivation, and rigour varies and that there is rarely a gospel.   

Skills

  • Rigorously prove optimality principles and conditions for stochastic control problems in (discrete time, finite space)-multi-period setting.
  • Explicitly solve simple investment/consumption and optimal stopping problems.   
  • Derive (with pen and paper), analyze (with a computer) and explain (in plain English) model implications; be they quantitative or qualitative, be they regarding policy, equilibrium, or empirics.

Knowledge

  • Maximization of expected utility and (partial) equilibrium in one-period models, including betting against beta.
  • Multi-period optimal portfolio choice. The martingale method vs. dynamic programming/the Bellman equation.
  • Explicit solutions with HARA utility and binomial(‘ish) stock dynamics. 
  • Properties and consequences of solutions; myopia and constant weights, C-CAPM, the equity premium puzzle.
  • Optimal stopping and the hedging and pricing of American options.

Recommended prerequisites

A bachelor degree in Mathematics-Economics.

Sign up


As an exchange, guest and credit student - click here!

Continuing Education - click here!

Education

MSc Programme in Mathematics-Economics

Studyboard

Study Board of Mathematics and Computer Science

Course type

Single subject courses (day)

Duration

1 block

Schedulegroup

C
---- SKEMA LINK ----

Teaching and learning methods

4 hours of lectures and 2 hours of tutorials per week for 7 weeks.

Capacity

No limit

Language

English

Workload

Category Hours
Lectures 28
Theory exercises 14
Exam 1
Preparation 163
English 206

Exam

Type of assessment

Oral examination, 20 min
without preparation time

Aid

All aids allowed

Marking scale

7-point grading scale

Criteria for exam assessment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.

Censorship form

External censorship

Re-exam

Same as ordinary

Mere information om kurset
Er du BA- eller KA-studerende?
Er du bachelor- eller kandidat-studerende, så find dette kursus i kursusbasen for studerende:

Kursusinformation for indskrevne studerende