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Course outline - Spring 2017
1. Instructor
Name: Professor Yue Kuen KWOK
MATH4512– Fundamentals of Mathematical Finance 2017.rar
(4.03 MB, 需要: 3 个论坛币)
Course Schedule
Week 1 – Week 4
1. Bond portfolio management and immunization
1.1 Duration measures and convexity
1.2 Horizon rate of return: return from the bond investment over a time period
1.3 Immunization of bond investments
1.4 Optimal management and dynamic programming
Week 4 – Week 6
2. Mean-variance portfolio theory
2.1 Mean and variance of portfolio return
2.2 Markowitz’s mean-variance formulation
2.3 Two-fund theorem
2.4 Inclusion of the risk free asset: One-fund Theorem
Week 7 – Week 10
3. Capital asset pricing model and factor models
3.1 Capital asset pricing model and beta values
3.2 Interpretations and uses of capital asset pricing model
3.3 Arbitrage pricing theory and factor models
3.4 Investment performance analysis
Week 11 – Week 13
4. Utility optimization in investment decisions
4.1 Optimal long-term investment criterion – log utility criterion
4.2 Axiomatic approach to the construction of utility function
4.3 Maximum expected utility criterion
4.4 Characterization of utility functions
4.5 Stochastic dominance
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