Financial investments 2600-DIz1IF
Lecture
1. Introduction to investment theory. Investor goals and limitations.
- Definition and features of financial investments
- Classification of financial assets
- Conditions of financial investments
- Securities and markets
2. Criteria for investment decisions.
- Classification of rates of return (nominal, real, risk-free rate, risk premium)
- The concept of expected rate of return
- Distribution of investment return rates (characteristics of normal distribution - kurtosis, skewness), Value-at-Risk
- Types of investment risk and risk measures (variance, standard deviation)
- Risk diversification - classification (covariance and correlation coefficients of returns)
3. Investments in debt instruments.
- Classification and structure of interest rates (spot interest rate structure, term structure of interest rates)
- Theories on shaping interest rates (liquidity preferences, segmentation, expectations)
- Features of the debt instrument (price, profitability)
- Bond pricing model
- Analysis of the sensitivity of bonds to changes in interest rates
4. Investments in equity instruments.
- Types and features of equity instruments
- Systematic and unsystematic risk
- Beta coefficient
- Asset pricing models (Sharpe, Markowitz, CAPM single-index model, CML capital market line and SML securities market line, efficient frontier)
- The concept of capital market efficiency
- Assumptions and basics of technical and fundamental analysis, stock market indicators.
5. Traditional and avant-garde measures of financial investment effectiveness.
- The concept of benchmark, tracking error
- Performance indicators (Sharpa, Sortino, Jensen, Treynor)
6. Investment risk management using futures contracts.
- Forward/futures contracts characteristics
- Futures contract valuation model
- The use of futures contracts to hedge risk
7. Analysis and application of swaps and options.
- Interest rate swap
- Currency swap
- Characteristics and application of options
- Payout functions, rights and obligations of the parties to the transaction
Exercises
1. Tasks related to making investment decisions, including:
- Classification of rates of return (nominal, real, risk-free rate, risk premium)
- The concept of expected rate of return
- Distribution of investment return rates (characteristics of normal distribution - kurtosis, skewness), Value-at-Risk
- Types of investment risk and risk measures (variance, standard deviation)
- Risk diversification - classification (covariance and correlation coefficients of returns)
2. Examples of debt investments, including:
- Features of the debt instrument (price, profitability)
- Bond pricing model
- Analysis of the sensitivity of bonds to changes in interest rates
3. Examples of equity investments, including:
- Beta coefficient
- Asset pricing models (Sharpe, Markowitz, CAPM single-index model, CML capital market line and SML securities market line, efficient frontier)
- Assumptions and basics of technical and fundamental analysis, stock market indicators.
4. Calculation of the financial investment efficiency measure, including:
- The concept of benchmark, tracking error
- Performance indicators (Sharpa, Sortino, Jensen, Treynor)
5. Investment risk management using futures contracts.
- Forward/futures contracts characteristics
- Futures contract valuation model
- The use of futures contracts to hedge risk
6. Analysis and application of swaps and options.
- Interest rate swap
- Currency swap
- Characteristics and application of options
- Payout functions, rights and obligations of the parties to the transaction
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Term 2025Z:
None |
Course coordinators
Type of course
Learning outcomes
Upon completion of the course, the student:
In terms of knowledge:
K_W02: Has an in-depth knowledge of the principles, procedures, and practices concerning investments and data analysis.
K_W04: Has an in-depth knowledge of the legal regulations governing the operation of organizations and the economy as a whole, particularly in the field of investment advisory and the functioning of capital markets.
K_W05: Has an in-depth knowledge of complex technological, social, political, legal, economic, and ecological processes and phenomena, including fundamental dilemmas of modern civilization, as well as their impact on financial decisions in organizations, the functioning of the economy as a whole, and organizations regarding the construction of information systems.
In terms of skills:
Calculates the expected rate of return based on historical data and market forecasts (K_U02).
Applies asset pricing and valuation models (e.g., Sharpe’s single-index model, Markowitz model, CAPM) to evaluate investments (K_U02).
Calculates the efficiency/performance of financial investments using indicators such as Sharpe, Sortino, Jensen, and Treynor ratios (K_U02).
K_U06: Is able to independently and collaboratively prepare analyses, diagnoses, and reports concerning complex and non-standard problems related to investment advisory and capital markets in organizations, communicate and present them clearly to diverse audiences, and conduct debates (also in English) using advanced information and communication tools.
K_U09: Has developed the capacity for self-education, continuous professional development, and supporting others in this regard.
In terms of social competences:
Evaluates the effectiveness of various investment performance measures (Sharpe, Sortino, Jensen, Treynor) and their application in financial practice (K_K01).
Evaluates the impact of using futures contracts and swaps in investment risk management on a company's financial strategy (K_K01).
K_K05: Is committed to adhering to, enforcing, and developing professional ethical standards, as well as advancing the heritage and achievements of the profession.
Assessment criteria
written exam (open and closed questions)
Written exam in stationary or remote form on the Kampus platform
Completing the exercises remotely on the Kampus platform.
colloquium 80%, 20% activity during classes (exercises, case studies), additional project (group work), attendance at classes.
Bibliography
Basic item:
Francis J.C. Inwestycje. Analiza i zarządzanie, WIG Press 2000
Additional items:
Haugen R. A., Teoria nowoczesnego inwestowania, WIG PRESS 1996
Jajuga K., Jajuga T., Inwestycje, Wydawnictwo Naukowe PWN, Warszawa 2010
Sopoćko A., Rynkowe instrumenty finansowe, Wydawnictwo Naukowe PWN, Warszawa 2010 Bodie, Kane, Marcus 2018, Essential of Investments, Mc Grow Hill Education
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Term 2025Z:
None |