BE-506 Computational Finance and Portfolio Mangement
- Studiepoeng:
- 7.5
- Ansvarlig avdeling:
- Handelshøyskolen ved UiA
- Emneansvarlig:
- Valeriy Ivanovich Zakamulin
- Undervisningssemester:
- Høst
- Undervisningsspråk:
- English.
- Varighet:
- 1 semester
Emnet er tilknyttet følgende studieprogram
- Økonomi og administrasjon - siviløkonom, masterprogram
- Økonomi og administrasjon - siviløkonom, 5-årig masterprogram
Undervisningsspråk
English.Anbefalte forkunnskaper
BE-419 Finance Theory
Innhold
The course attempts to build the foundation for students who will later do actual empirical work. The objective of the course is to learn mathematical, programming, and statistical tools used in the real world analysis of financial data. It is a hands-on course where the students obtain practical skills in performing analysis of actual data and implementing the core theoretical models of modern finance. The main emphasis is given to the theory and practice of investment and portfolio management.
Læringsutbytte
On successful completion of this course the student should be able to use the open source R statistical programming language to:
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Retrieve, process, and plot financial data
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Compute and analyze financial asset returns
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Construct mean-variance efficient portfolios
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Construct mean-risk efficient portfolios
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Implement traditional and modern portfolio diversification and optimization methods
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Estimate the single index and multifactor models using linear regression
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Evaluate portfolio performance and be able to separate -skill- from -luck- in the performance
Vilkår for å gå opp til eksamen
Approved compulsory assignment. More information will be given in Canvas at the start of the semester.
Undervisnings- og læringsformer
Lectures, group work and PC-lab. Estimated workload is about 200 hours.
Studentevaluering
The study programme manager, in consultation with the student representative, decides the method of evaluation and whether the courses will have a midterm- or end of term evaluation, see also the Quality System, section 4.1. Information about evaluation method for the course will be posted on Canvas.
Tilgang for privatister
Nei
Eksamen
Individual term paper with letter grades.
Reduksjon i studiepoeng
Innholdet i dette emnet dekkes helt eller delvis av annet emne. Tas ett av disse emnene i tillegg, reduseres studiepoengene som følger:
Emne | Studiepoengreduksjon |
---|---|
BE-513 – Practical Portfolio Management | 5 |
BE-421 – Investments | 2.5 |