Browse Hierarchy MTH7028P: Mathematical Tools for Asset and Liability Management

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This module introduces key concepts in financial economics and risk management. We will learn economic theories used by investors to determine their optimal portfolio of investment: utility theory, stochastic dominance, mean-variance portfolio theory, CAPM, factor models and arbitrage pricing theory. We consider next efficient market theory. We learn various tests for testing efficient market theory. We also introduce stochastic models for asset prices. Finally we study topics related to ruin/risk theory and look at how insurance companies estimate their liabilities using run-off triangles.

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