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In the first lecture, we introduced the course and the main ideas of portfolio theory. We defined security returns and established the notation used to describe them. We also discussed investors’ choices in terms of expected return and risk, and introduced an efficient portfolio.

Material used:

• Lecture slides
• Petters–Dong, Sec. 3.1.1, Security Return Rates, pp. 85–86; Sec. 3.1.3, Investors and the Efficient Frontier, pp. 87–88
• Formula sheet for Lecture 1

Regarding the formula sheet, it gives a compact overview of the notation, concepts, and formulas covered. You can use the corre...

The first lecture is Tuesday 18 August, 12:15--14:00, in VB Aud 4. The books for the course are:

- Arlie O. Petters and Xiaoying Dong, An Introduction to Mathematical Finance with Applications.

- Stanley R. Pliska, Introduction to Mathematical Finance: Discrete Time Models.

The detailed syllabus is available here [More].

Kenneth H. Karlsen