MKF_TEPO Portfolio Theory

Faculty of Economics and Administration
Spring 2022
Extent and Intensity
26/0/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
Ing. Luděk Benada, Ph.D. (lecturer)
Guaranteed by
Ing. Luděk Benada, Ph.D.
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Supplier department: Department of Finance – Faculty of Economics and Administration
Timetable
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
Prerequisites
Knowledge in Microeconomics, Macroeconomics, Mathematics, Statistics and Financial Mathematics.
Course Enrolment Limitations
The course is only offered to the students of the study fields the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
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.
Learning outcomes
Student will be able to:
- apply knowledge of the key characteristic (return, risk, liquidity) of traded equity securities
- quantify the expected price price development of a security
- valuate securities
- create a portfolio in the line with Markowitz´s and Sharpe concept
- solve the portfolio problem with weight restricktion (short sell, max. weight of a security)
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
Literature
    required literature
  • ELTON, Edwin J. Modern portfolio theory and investment analysis. 8th ed. Hoboken, N.J.: John Wiley & Sons, 2011, xviii, 727. ISBN 9780470505847. info
    recommended literature
  • The basics of financean introduction to financial markets, business finance, and portfolio management. Edited by Frank J. Fabozzi - Pamela Peterson Drake. Hoboken, NJ: Wiley, 2010, xiii, 604. ISBN 9780470609712. 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
Teaching methods
Tutorials will focus on the application of model examples and real data. The prerequisite is that students know (have studied) in advance the problematic that will be employed in the specific tutorial.
Assessment methods
Exam: Written
The control test will take place on the 3rd tutorial. If the student cannot physically pass the planned test and has an apology in the IS, the teacher can allow him to take a substitute test (the decision is up to the teacher).
The final test will be taken during the examination period.
Exam and final evaluation - the exam has two parts - continuous (Control test) and final (Final test).
The final mark consists of: Evaluation of the Control Test (50%) + evaluation of the Final Test (50%). To successfully complete the course, the student must obtain an average of at least 60% of both tests.
The following classification scales apply to the evaluation of students' performance in the exam:
A = 92 - 100%
B = 84 - 91%
C = 76 - 83%
D = 68 - 75%
E = 60 - 67%
F = less than 60%

Any copying, recording or taking of tests, use of illicit aids as well as means of communication or other violation of the objectivity of the examination (credit) will be considered as failure to meet the conditions for completion of the course and a gross violation of study regulations. As a result, the teacher concludes the examination with an "F" grade in the IS and the dean initiates disciplinary proceedings, which may result in the completion of studies.
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
Information on the extent and intensity of the course: tutorial 16 hodin.
Teacher's information
Students must have studied the issue from the required and recommended literature, so that attention can be paid to the more difficult and problematic parts of the subject matter and the solution of individual examples (problems). The concreate topics will not be taught in the tutorials, only the basic concepts will be reminded and then we will focus on solving examples.
The course is also listed under the following terms Spring 2010, Spring 2011, Spring 2012, Spring 2013, Spring 2014, Spring 2015, Spring 2016, Spring 2017, Spring 2018, Spring 2019, Spring 2020, Spring 2021, Spring 2023, Spring 2024.
  • Enrolment Statistics (Spring 2022, recent)
  • Permalink: https://is.muni.cz/course/econ/spring2022/MKF_TEPO