Portfolio management 2006-2007
Radboud Universiteit

Contents

Key words: preference relations, utility functions, risk measures, stochastic control, portfolio optimization, American options

Literature

1. Lecture notes on Portfoliomanagemt (in ps and in pdf). An updated version of these lecture notes will sooner or later appear here.
2. The book R. Korn, Optimal Portfolios: Stochastic Models for Optimal Investment and Risk Management in Continuous Time, World Scientific.
3. The book R.J.Elliott and P.E. Kopp, Mathematics of Financial Markets, Springer Verlag, Berlin-Heidelberg-New York (1999, Second edition 2005).
4. A collection of exercises in ps and in pdf.
5. Elementary optimization theory can be found on the site with Mathematical methods for economic theory, in particular for optimization under inequality constraints see Section 7 (Kuhn-Tucker conditions).

Lecturer

Peter Spreij

Schedule

Classes on Thursdays 13.30 - 15.30 in room N1012a, except September 7 in N1012 and November 30 in N0011. The room for November 16 is not known yet. No classes on October 26 and on November 23.

Examination

The exam is oral, but there will also be regular homework assignments.

Programme

1
 Lecture notes: up to section 3.5
2
 Lecture notes: most of sections 3.6 and 4.1
Homework: exercises 3, 4, 5, 6
3
 Lecture notes: most of sections 4.2 and 4.3
Homework: exercises 8, 9, 10, 11
4
 Lecture notes: most of sections 4.4, 5.1 and 5.2
Homework: exercises 13, 14, 15
5
 Korn, parts of chapter 1 and of sections 2.1 and 2.2
Homework: preparation of presentation of the final examples of Section 5 of the lecture notes, and exercise 16
6
 Korn, remainder of section 2.2, and section 2.3
Homework: 4 exercises out of "17 - 21".
7
 Korn, sections 2.4, 3.2, Appendix C up to HJB equation
Homework: exercises 22, 23, 24.
8
 Korn, section 3.3
Homework: exercises 25, 27, 28
9
 Korn, section 3.4(i)
Homework: exercises 31 and 32
10
 Korn, section 3.4(ii)
Homework: preparation of presentations
11
 Presentations by students: Korn, section 3.6 and Korn&Korn section 5.4
Homework: none
12
 American options in discrete time, Elliott & Kopp, chapter 5, in particular sections 5.1, 5.4, 5.5 (skip definition 5.4.7 and what is related to it)
Homework: exercise 34.
13
 American options in continuous time, Elliott & Kopp, chapter 8
Homework: exercises 35 and 37.