MPF_APOT Portfolio Theory

Ekonomicko-správní fakulta
jaro 2024
Rozsah
2/2/0. 6 kr. Ukončení: zk.
Vyučující
Ing. Luděk Benada, Ph.D. (přednášející)
Andrea Rigamonti, B.Sc., M.Sc., Ph.D. (přednášející)
Ing. Luděk Benada, Ph.D. (cvičící)
Andrea Rigamonti, B.Sc., M.Sc., Ph.D. (cvičící)
Garance
Ing. Luděk Benada, Ph.D.
Katedra financí – Ekonomicko-správní fakulta
Kontaktní osoba: Mgr. Jana Nesvadbová
Dodavatelské pracoviště: Katedra financí – Ekonomicko-správní fakulta
Rozvrh
Út 16:00–17:50 S309, kromě Út 2. 4.
  • Rozvrh seminárních/paralelních skupin:
MPF_APOT/01: Út 18:00–19:50 VT105, kromě Út 2. 4., A. Rigamonti
Předpoklady
! MPF_TEPO Teorie portfolia && !NOWANY( MPF_TEPO Teorie portfolia )
Omezení zápisu do předmětu
Předmět je nabízen i studentům mimo mateřské obory.
Předmět si smí zapsat nejvýše 24 stud.
Momentální stav registrace a zápisu: zapsáno: 19/24, pouze zareg.: 0/24, pouze zareg. s předností (mateřské obory): 0/24
Mateřské obory/plány
Cíle předmětu
In the course, students will get acquainted with the basic methods for the evaluation of investment opportunities, with the most important asset pricing models, and with the mathematical methods used in portfolio optimization. The course is especially important for students who intend to work in the field of asset management at financial institutions.

First, students will familiarize with important concepts required to understand the functioning of financial markets and the evaluation of securities. They will then be introduced to the theoretical framework of portfolio optimization and with the most important asset pricing models. Finally, students will learn how portfolio optimization works in practice and how to perform backtesting and performance evaluation, also outside of the standard mean-variance framework.

The main objectives of the course are:
- understanding the valuation of securities yield and risk;
- understanding the basics of portfolio theory;
- understanding the basic approaches to compiling a portfolio of securities;
- the ability to properly evaluate portfolio performance;
- the ability to apply the acquired knowledge to areas not directly discussed in the course.
Výstupy z učení
Students will be able to:
- evaluate investment opportunities
- apply knowledge of the key characteristic of traded equity securities
- create a portfolio in the line with Markowitz´s and Sharpe concept
- solve the portfolio problem with weight restriction (short sell, max. weight of a security)
- create long-short portfolios based on asset pricing models
- evaluation of portfolio performance, also beyond the mean-variance framework
Osnova
  • Introductionary notions about financial markets.
  • Interest rates and valuation principles.
  • Review of basic notions of probability and statistics.
  • Expected return, risk, input parameters estimation.
  • Mean and variance of a portfolio of assets.
  • Systematic and idiosyncratic risk. The CAPM. Estimation of CAPM parameters.
  • Non-standard CAPM models. Arbitrage Pricing Theory. Multifactor asset pricing models.
  • Mathematical models for defining optimal portfolio weights in Markowitz's mean-variance framework.
  • Global minimum variance portfolio. Long-only minimum variance portfolio. Equally weighted portfolios.
  • Long-short portfolios.
  • Factor investing.
  • Performance evaluation. Downside risk.
  • Introduction to R and RStudio. (during seminar)
  • Obtaining financial data. Managing datasets. (during seminar)
  • Basic statistical analysis and data visualization. (during seminar)
  • Optimal portfolio computation. (during seminar)
  • Using factor models. (during seminar)
  • Construction of long-short portfolios. (during seminar)
  • Performance evaluation and backtesting. (during seminar)
Literatura
    povinná literatura
  • ELTON, Edwin J. Modern portfolio theory and investment analysis. 8th ed. Hoboken, N.J.: John Wiley & Sons, 2011, xviii, 727. ISBN 9780470505847. info
  • BERK, Jonathan a Peter DEMARZO. Corporate Finance. 4th Edition. Pearson, 2016. ISBN 978-1-292-16016-0. info
    doporučená literatura
  • Portfolio Management : Theory and Practice Autor: Scott D. Stewart, Christopher D. Piros, and Jeffrey C. Heisler https://ebookcentral.proquest.com/lib/masaryk-ebooks/detail.action?docID=5741214
    neurčeno
  • REILLY, Frank K a C BROWN KEITH. InvestmentAnalysis and Portfolio Management. Australia: South-Western Cengage Learning, 2019. 11th ed. ISBN 978-1-305-26299-7. info
  • SCHULMERICH, Marcus, Yves-Michel LEPORCHER a Ching-Hwa EU. Applied asset and risk management : a guide to modern portfolio management and behavior-driven markets. Berlin: Springer, 2015, xvii, 476. ISBN 9783642554438. info
Výukové metody
Lectures. Practical exercises during computer seminars. Home assignments.
Metody hodnocení
Two mandatory assignments (one at the middle of the course and one toward the end) to be done at home will be given to the students and contribute to the final grade.
Attendance to the seminars is mandatory; a maximum of three absences are tolerated. Exceptions can be made for serious reasons (e.g., illness), which need to be discussed with the lecturer.
The final grade is determined through a written test after the end of the course. It will consist of short theoretical questions and exercises.

Then final classification is the following:
A= 92 – 100 %
B= 84 – 91 %
C= 76 – 83 %
D= 68 – 75 %
E= 60 – 67 %
F= less than 60 %

If a student will cheat during the final written test, the teacher will interrupt the exam and it will be graded as failed.
Vyučovací jazyk
Angličtina
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