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
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 

Book:
 L.C.G Rogers
 "Optimal Investment"
 Springer, 2013

Continuous time finance. Otherwise similar
4 hours of lectures per week for 7 weeks.
  • Category
  • Hours
  • Exam
  • 1
  • Lectures
  • 28
  • Preparation
  • 177
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Oral examination, 30min
30-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.