Portfolio Theory
In the course, students will get acquainted with the basic mathematical methods used in the field of evaluation of investment opportinities, portfolio optimization and valuation of risky and non-risky assets.
The course is especially important for students who intend to work in the field of asset management at financial institutions.
The content is divided into two thematic areas.
The subject of the first part is the Markowitz model in the standard form, which is further extended by risk-free deposits and risk-free loans.
The content of the second thematic area is the model of capital asset valuation, risk diversification and arbitrage valuation theory.
The main objectives of the course are:
-understanding the basics of portfolio theory,
-understanding the valuation of securities yield and risk;
-understanding the basic approaches to compiling a portfolio of securities;
-the ability to apply the acquired knowledge to problem areas that are not directly discussed in the course.
- Timetable: jaro 2022
Fri 18. 2. 12:00–15:50 VT204, Fri 4. 3. 16:00–19:50 VT204, Fri 1. 4. 16:00–19:50 VT204, Sat 30. 4. 12:00–15:50 VT204
- Department of Finance – Faculty of Economics and Administration
Teacher(s)
Syllabus
Thematic plan of Turoriály:
1. Tutorial:
Introduction to portfolio theory
Assets in portfolio theory, return and the risk of changes in its return
Quantification of expected return and changes in portfolio return
2. Tutorial:
Markowitz's model, the image of the set of allowable portfolios in the space of return and risk
Optimization - Minimum-Variance, Mean-Variance
3. Tutorial:
CAPM model (CML, SML)
Tangential portolio
4. Tutorial:
Cut - off portfolio
Multi-factor model in asset and portfolio valuation
