Portory Theory

Basic information

Workload: 

45 hours

Prerequisite: 

Quantitative Finance

Syllabus: 

Portfolio optimization techniques. Markowitz theory. Multi-factor models and its applications. Transaction costs. Performance measures. Theory of stochastic portfolios.

Bibliography

Mandatory: 

· Elton, Gruber, Brown and Goetzmann. Modern portfolio theory and investment analysis. Wiley.
· Litterman. Modern investment management. Wiley.
· Fernholz. Stochastic Portfolio Theory. Springer.

Complementary: 

· Hull, J. (2014). Options, Futures and Other Derivatives. Pearson. 9th Edition.
· Björk. Arbitrage Theory in Continuous Time. Oxford Finance.
· Shreve. Stochastic Calculus for Finance Vol 2. Springer.
· Glasserman, P. (2003). Monte Carlo Methods in Financial Engineering. Springer.
· Etheridge. A Course in Financial Calculus. Cambridge.