NMAK14017U Optimal investment (AAM)
Volume 2014/2015
Education
MSc programme in Actuarial
Mathematics
MSc Programme in Mathematics
MSc Programme in Statistics
MSc Programme in Mathematics-Economics
MSc Programme in Mathematics
MSc Programme in Statistics
MSc Programme in Mathematics-Economics
Content
Basic problem in continuous-time portfolio selections
- Merton problem
- Methods that can be used for its solution
Variations of the Merton problem, change the assumptions in various ways
- Preferences are different
- Various kinds of constraint
- Uncertain about model parameters
- Underlying asset dynamics are more general
Learning Outcome
Knowledge
- Merton problems of optimal investment over a finite horizon
- Variations on the basic Merton problem
- Methods applied in optimal investment theory
Skills: At the end of the course, the students are expected to be able to
- Apply a range of methods for solving the Merton problem
- Formulation of equations governing the solutions of variations of Merton problem
Competences
- To make the student operational and to give the student knowledge in applications of optimal investment theory
Literature
Book:
L.C.G Rogers
"Optimal Investment"
Springer, 2013
Academic qualifications
Continuous time finance.
Otherwise similar
Teaching and learning methods
4 hours of lectures per week
for 7 weeks.
Workload
- Category
- Hours
- Exam
- 1
- Lectures
- 28
- Preparation
- 177
- Total
- 206
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Exam
- Credit
- 7,5 ECTS
- Type of assessment
- Oral examination, 30min30-minute oral exam without time for preparation
- Aid
- Without aids
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several internal examiners
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
Course information
- Language
- English
- Course code
- NMAK14017U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
- Placement
- Block 2
- Schedule
- B (Mon 8-12 + Tues 13-17 + Fri 8-12)
- Course capacity
- No limit
- Continuing and further education
- Study board
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Course responsibles
- Jesper Lund Pedersen (6-736e7c796e7b49766a7d7137747e376d74)
Phone: +45 35 32 07 75
Office: 04.3.11
Office: 04.3.11
Lecturers
Kamille Sofie Tågholt Gad
Jesper Lund Pedersen
Saved on the
01-12-2014