Main Field of Study and progress level:
Economics: Second cycle, in-depth level of the course cannot be classified
Grading scale: Pass with distinction, Pass, Fail
Responsible department: Department of Economics
Revised by: Rector of Umeå School of Business and Economics, 2015-01-22
Contents
The course objective is to provide a deep understanding of decisions under uncertainty and portfolio management. The course covers different topics related to risk management such as how to measure risk, insurance decisions, optimal decision-making under uncertainty, and modern portfolio theory. Risk sharing and asset pricing are also covered. In particular, the course deals with the Capital Asset Pricing Model (CAPM), the consumption capital asset pricing model (CCAPM) and arbitrage pricing theory (APT). Martingale measures as well as value-at-risk measures are also covered.
Expected learning outcomes
Upon completing this course, students should;
- know how to use the formal models and tools needed to analyze decision-making under uncertainty, - have a deep knowledge and understanding of modern portfolio theory, - have a deep knowledge and understanding of the main asset pricing theories, - be able to present empirical results within the area in a correct and structured way.
Required Knowledge
Mathematics for Economists I D7 and Econometrics I D12 or the equivalent is required. Students are also required to have English B/6 from Swedish gymnasium or the equivalent.
Form of instruction
The education is given in form of lectures and seminars.
Examination modes
The examination consists of written examination at the end of the course.
Students that not recieves the grade Pass or Pass with Distinction on the first exam have the possibility to write a second exam within a close time. Subsequently exam opportunities are given the next time the course is offered. In addition to these opportunities are all exams offered in August each year. Contact the study advisor for more information
Students with the grade Pass or Passed with Distinction are not eligible to write a new exam in order to raise the grade. A student that has failed on two exams on the same module has the right to apply for a new lecturer correcting the exam. The application has to be sent to the rector of the USBE.
Credit Transfer Academic credit transfers are according to the University credit transfer regulations.
Literature
Valid from:
2014 week 31
Tsay Ruey S. Analysis of financial time series 3rd ed. : Hoboken, N.J. : Wiley : c2010. : xxiii, 677 p. : ISBN: 978-0-470-41435-4 (cloth) Mandatory Search the University Library catalogue
