MPF_TEPO Portfolio Theory

Faculty of Economics and Administration
Spring 2010
Extent and Intensity
2/2/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
Mgr. Petr Červinek (lecturer)
Mgr. Petr Červinek (seminar tutor)
Guaranteed by
Mgr. Petr Červinek
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Timetable
Mon 11:05–12:45 P103
  • Timetable of Seminar Groups:
MPF_TEPO/01: Mon 12:50–14:30 VT105, P. Červinek
MPF_TEPO/02: Mon 14:35–16:15 VT105, P. Červinek
MPF_TEPO/03: Mon 16:20–17:55 VT206, P. Červinek
MPF_TEPO/04: Mon 18:00–19:35 VT206, P. Červinek
Prerequisites
! PFTEPO Portfolio Theory
Knowledge in microeconomics, Macroeconomics, math, statistic and financial math.
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
The capacity limit for the course is 101 student(s).
Current registration and enrolment status: enrolled: 0/101, only registered: 0/101, only registered with preference (fields directly associated with the programme): 0/101
fields of study / plans the course is directly associated with
Course objectives
After passing the course is student able to: make clear the fundamentals of the portfolio theory, the revenue and the risk of securities and the basic principles of portfolio selection, apply gained knowledge to problem areas, which are not taught directly in this course.
Syllabus
  • Course of lectures
  • 1. Introduction to Theory of portfolio.
  • 2. Assets in Theory of portfolio, revenue, risk, changes of its revenue.
  • 3. expected revenue, change of portfolio revenue.
  • 4. Markowitz model, system of acceptable portfolios in the area of revenue and risk
  • 5. Group of effective portfolios in Sharpe and Markowitz
  • 6. Non-risk assets, sell short, borrowing and lending
  • 7. Math models for defining ofweights in portfolio, optimal portfolio, risk minimizing
  • 8. Model of appreciation capital assets CAPM, capital market line
  • 9. Model of appreciation capital assets SML, capital market line
  • 10. One index model and defining of share of stocks in portfolio (sell short, or not , Elton-Gruber)
  • 11. Factor models, consolidation of CAPM and APT
  • 12. “Morefactors” models, influence of inflation, stock revenue, portfolio revenue
  • 13. Czech capital market porfolio,creation, liquidity
  • Thematic plan- seminars:
  • 1. Initial seminar – working methods in seminars, clause of classification
  • 2 Kvantification of revenue and risk of assets (revenue and risk of assets, historical attitudes, expert attitudes)
  • 3. Kvantification of expected revenue and risk of portfolio (revenue and risk of portfolio if you know shares, stock exchange trading, risk of change of revenue if you know shares)
  • 4. Permissible and effective group of portfolios construction, indifferent curves (grafical solutions)
  • 5. Control test I
  • 6. Non-risk assets, lending and borrowing (construction portfolio group with non-risk assets (...) revenue in perfect competition, or in non-perfect competition)
  • 7. Defining shares of assets in portfolio (defining shares by Lagrange multiplier, using of stock exchange datas
  • 8. Capital assets appreciation, capital market curve (CML curve; bond market curve)
  • 9. Capital assets market in SML, using of the bond market curve, deciding to buy and sell, systematic and non- systematic risk, one- index model...)
  • 10. Control test II
  • 11. Determining factors of assets revenue, CAPM and APT merging
  • 12. Factor models, beta-factor, revenue and risk of factor portfolios, inflation in the Czech Republic
  • 13. Creating of portfolios (minimally from four instruments which is used in PSE, risk and revenue of this portfolio
Literature
  • ČÁMSKÝ, František. Teorie portfolia. 2. přeprac. a rozš. vyd. Brno: Masarykova univerzita, 2007, 115 s. ISBN 9788021042520. info
  • ELTON, Edwin J. Modern portfolio theory and investment analysis. 7th ed. Hoboken, N.J.: John Wiley & Sons, 2007, xviii, 728. ISBN 9780470050828. info
  • ČÁMSKÝ, František. Teorie portfolia (Portfolio theory). druhé doplněné. Brno, Šlapanice, Brněnská 252/29: Olprint, Jaroslav Olejko, 2007, 123 pp. AA-5,91 VA-6,06. ISBN 978-80-210-4252-0. info
  • ČÁMSKÝ, František. Teorie portfolia. 1. vyd. V Brně: Masarykova univerzita, 2001, 136 s. ISBN 8021025093. info
  • SHARPE, William F. and Gordon J. ALEXANDER. Investice. Translated by Zdeněk Šlehofr. 4. vyd. Praha: Victoria Publishing, 1994, 810 s. ISBN 80-85605-47-3. info
  • BRADA, Jaroslav. Teorie portfolia. 1. vyd. Praha: Vysoká škola ekonomická v Praze, 1996, 160 s. ISBN 8070792590. info
Teaching methods
lectures, during the seminars - solving of problems related to expected return and risk counting of assets, portfolio selection under different conditions, equilibrium pricing models
Assessment methods
Kind of study: 2/2 (lectures/seminars)
Examination: Written test and oral exam
1. Control test I and Control test II in seminars will be written by students following the schedule (if student can not participate in one of two tests (not two of two) he or she can apologize (but only teacher will decide if the apology is authorized. There can be one control test more in the beginning of exam period (there can be everything for whole year, which was taught). Classification will be the same as before.
2. Final classification of seminars (requirement for successful graduation of this subject is successful first and second control and 70% attendance in seminars, control test is successful when students achieve minimaly 60%.
3. Final exam and final classification (final exam consists of two parts- written- there is control test I and control test II, and oral exam)
Each test consists of three problems of different difficulty.
Final mark consists of:
Classification of control test I (25%) + classification of control test II (25%) + oral exam (50%)
Then final classification is following:
A= 92 – 100 %
B= 84 – 91 %
C= 76 – 83 %
D= 68 – 75 %
E= 60 – 67 %
F= less than 60 %

If student will cheat or copy or plagiarize, or sth else what is forbidden, teacher would interupt an exam or test and the student final classification will be following F, or FF, or FFF. Or there can be disciplinary proceedings.
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
General note: Nezapisují si studenti, kteří absolvovali předmět PFTEPO.
Credit evaluation note: k=1.
Listed among pre-requisites of other courses
The course is also listed under the following terms Spring 2011, Spring 2012, Spring 2013, Spring 2014, Spring 2015, Spring 2016, Spring 2017, Spring 2018, Spring 2019, Spring 2020, Spring 2021, Spring 2022, Spring 2023, Spring 2024, Spring 2025.
  • Enrolment Statistics (Spring 2010, recent)
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