Portfolio analysis

The course covers theories of pricing financial assets in well-developed capital markets. The foundation of these pricing theories is portfolio selection theory, which is used to derive so-called optimal securities portfolios, that is, how an investor should combine a large number of financial assets to achieve the best possible balance between return and risk. The portfolio selection models addressed include CAPM and APT, as well as their empirical counterparts, the Single-Index and Multi-Index models. The course also covers how financial institutions can protect (immunise) their securities portfolios against various types of risks, as well as techniques for evaluating portfolio management performance. These theories are given practical implementation during the course through a series of computer-based exercises where students learn to construct securities portfolios and evaluate portfolio management results. The course also includes writing an independent study on a current topic in financial economics.

Progressive specialisation: A1N (has only first‐cycle course/s as entry requirements)

Education level: Master's level

Admission requirements: 90 ECTS credits in Economics and 15 ECTS credits in Mathematics or Statistics, plus upper secondary level English 6 or English level 2, or equivalent

Selection: Selection is usually based on your grade point average from upper secondary school or the number of credit points from previous university studies, or both.

This course is included in the following programme

• Master programme in applied economics and advanced analytical methods (studied during year 1)