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Intermediate Financial Mathematics (ACTL30006)
Undergraduate level 3Points: 12.5On Campus (Parkville)
You’re currently viewing the 2024 version of this subject
Overview
| Availability | Semester 2 |
|---|---|
| Fees | Look up fees |
This subject introduces actuarial students to stochastic asset liability modelling. It aims to expand the student's knowledge of basic actuarial principles in the fields of investments and asset management. Topics include: utility theory, stochastic dominance, measures of investment risk, portfolio theory, models of asset returns, asset liability modelling, equilibrium models, the efficient markets hypothesis, stochastic models of security prices and Brownian Motion and its application.
Intended learning outcomes
On successful completion of this subject, students should be able to:
- Understand the objectives of Modern Portfolio Theory;
- Define and analyse mean-variance efficiency;
- Find efficient portfolios using Gaussian Elimination;
- Define and apply single- and multi- factor models for investment returns;
- Apply expected utility theory to make investment choices;
- Apply and criticise the Capital Asset Pricing Model;
- Find portfolio expected returns using the Arbitrage Pricing theory;
- Compare and contrast methodologies for making investment choices in terms of the strengths of their assumptions;
- Make decisions regarding investment choice using a variety of mathematical techniques;
- Apply the concepts of market efficiency and rationality; and
- Apply stock price models across time to assessing long-term risk in portfolios.
Generic skills
On successful completion of this subject, students should have improved the following generic skills:
- Written communication;
- Problem solving;
- Statistical reasoning;
- Application of theory to practice;
- Interpretation and analysis; and
- Use of computer software.
Last updated: 8 November 2024