MPF_APOT Portfolio Theory

Ekonomicko-správní fakulta
jaro 2025
Rozsah
2/2/0. 6 kr. Ukončení: zk.
Vyučující
Andrea Rigamonti, B.Sc., M.Sc., Ph.D. (přednášející)
Andrea Rigamonti, B.Sc., M.Sc., Ph.D. (cvičící)
Garance
Andrea Rigamonti, B.Sc., M.Sc., 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 1. 4.
  • Rozvrh seminárních/paralelních skupin:
MPF_APOT/01: Út 18:00–19:50 VT105, kromě Út 1. 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: 21/24, 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.

After a brief introduction about the functioning of financial markets, some statistics notions required for the course will be addressed. The students 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 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 line with Markowitz´s and Sharpe's 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 B. a Peter M. DEMARZO. Corporate finance. Sixth edition, Global editio. Harlow, England: Pearson, 2024, 1195 stran. ISBN 9781292446318. info
    doporučená literatura
  • 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
One mandatory assignment to be done at home will be given to the students and it will contribute to the final grade.
Attendance to the seminars is mandatory; a maximum of three absences are tolerated.
The final grade is determined through a midterm test and a final exam after the end of the course. They will consist of short theoretical questions and exercises. Passing the midterm is not mandatory but students who don't will have to be tested on the entire program during the final exam.

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 midterm or the final written test, the teacher will interrupt the exam and it will be graded as failed.
Vyučovací jazyk
Angličtina
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