Portfolio Analysis 1000-135AP1

Principles of decision taking under conditions of uncertainty: the expected rate of return, measures of volatility as measures of risk or measures of exposure to danger, VaR, decision criteria, measure of relationship of (random) rates of return, properties of expected utility and indifference curves in the decision taking
model (3 lectures).
General Markowitz model: the expected rate of return and risk of a portfolio, feasibility set, extremal and efficient portfolios; minimal, efficient, and maximal frontier; piecewise-linear set of efficient portfolios; kinks on efficient frontier. Maximization of expected utility of portfolio's rate of return and maximization of portfolio's Sharpe coefficient. Estimation of model parameters (4 lectures).
Special models: basic Markowitz, Black, Tobin and modified Tobin, Sharpe. Basic Markowitz and Black models for two stocks in all details (4 lectures).
Capital market hypotheses: - of normality of distribution of rates of return, - of random wandering, - of efficient market, - of fractal market (1 lecture).
The Capital Asset Pricing Model (CAPM): perfect market, equilibrium on a capital market, market portfolio and its relationship to tangent portfolio, the cost of capital formula, applications of CAPM (2 lectures).