Portfolio Theory and Applications (FE630)

An essential introduction to modern portfolio theory and optimal portfolio selection using optimization techniques such as linear programming. Addresses contingent investment decisions, deferral options, combination options, and mergers and aquisitions. Probe financial risk management, emphasizing Value-at-Risk (VAR) analysis and methods. Exploit general and parametric distributions and VAR as a risk measure. Examples from case studies are drawn from contemporary scenarios. Prerequisites: FE610, FE620, FE621.