|
|
|
Module Aims
|
To familiarise students with a range of quantitative methods used in making financial decision making.
|
|
Learning Outcomes
|
This course introduces students to a range of quantitative techniques (with an emphasis on econometric methods) used in financial evaluation and examines the criteria used in choosing techniques and portfolios. It provides students with "hands on" experience of the use of quantitative techniques applicable to financial analysis.
|
|
Indicative Time Allowances
|
|
|
Hours
|
|
Lectures |
24
|
|
Tutorials |
8
|
|
Laboratories |
0
|
|
Seminars |
0
|
|
Independent Learning Time |
43
|
|
|
|
|
Total |
75
|
|
Placements |
|
|
Assignments |
|
|
|
NOTE
|
Assume that a 5 credit module load represents approximately 75 hours' work, which includes all teaching, in-course assignments, laboratory work or other specialised training and an estimated private learning time associated with the module.
|
|
Indicative Syllabus
|
|
Distribution of Returns: Probability; Normal and other distributions.
Covariance, Correlation and Regression: Prediction using regression; Forecast tests; Multicollinearity; Heteroscedasticity; Autocorrelation; Regression in difference form; Appropriateness of estimators.
Time Series (ARIMA) Models: Stationarity and differencing; Estimation; Diagnostic checking; Forecasting with ARIMA models.
Portfolio Theory: Applications to: Efficient frontiers; Quadratic programming; Portfolio performance;Sharpe, Treynor, and Jensen measures; Arbitrage Pricing theory.
|
| Assessment | | Continuous Assessment | 50% | Examination Weight | 50% |
|
|
Indicative Reading List
|
|
Adams, Andrew, Bloomfield, Della, Booth, Philip and England, Peter, Investment Mathematics and Statistics. Graham and Trotman, 1993.
Elton, E.J., and Gruber, M.J., Modern Portfolio Theory and Investment Analysis. Wiley, 1991.
Kennedy, P., A Guide to Econometrics (3rd ed). Blackwell, 1992.
Pindyck, Robert S & Daniel L Rubinfeld, Econometric Models and Economic Forecasts (4th ed.), McGraw-Hill, 1998
|
|
|
|
Programme or List of Programmes
|
| AF | BA in Accounting & Finance |
| BS | Bachelor of Business Studies |
| BSI | Business Studies ( with INTRA ) |
| EBF | BA in European Business (French) |
| EBG | BA in European Business (German) |
| EBS | BA in European Business (Spanish) |
| EBT | BA in European Business (Trans.Studies) |
| IBLFG | BA in Inter. Business & Lang. (Fr/Ge) |
| IBLFS | BA in Inter. Business & Lang. (Fr/Sp) |
| IBLGS | BA in Inter. Business & Lang. (Ge/Sp) |
| IBLJ | BA in Inter. Business & Lang. (Japanese) |
| Archives: | |
