(in Polish) Matematyka portfela inwestycyjnego 2600-DIz2MPI
Full description:
- historical means and variances of rates of return; future mean and variance of rates of return; mean-variance trade-offs; multiple assets; hedging example; time series correlation; normal distribution of rates of return.
- risk diversification (diversifiable and non-diversifiable risk; inter-industry diversification; diversification within a rating category; diversification across securities of different rating categories; transnational diversification; Markowitz diversification; risk equation; portfolio return equation; diversification vs. correlation between portfolio asset returns; positive, negative, zero correlation; portfolio over-diversification);
- capital asset pricing;
- portfolio types and portfolio management; portfolio management (mechanical investment methods, regular investment of a fixed capital amount, maintaining a constant ratio during investment, price-indicator method, active and passive management, short-term and long-term management, impact of macro and microeconomic factors on portfolio construction, portfolio monitoring and rebalancing);
- portfolio hedging; evaluation of portfolio management
Course coordinators
Type of course
Mode
Learning outcomes
Upon completing the course, the student:
In terms of knowledge:
- knows and understands the research methodology and terminology in the field of investment portfolio mathematics related to investment advisory and capital markets (K_W01),
- knows and understands the principles, procedures, and practices regarding investment portfolio mathematics (K_W02),
- knows and understands complex technological, social, economic, and ecological processes and phenomena in the field of investment portfolio mathematics (K_W05).
In terms of skills:
- is able to use the theory of investment portfolio mathematics to identify, diagnose, and solve problems related to financial decisions in investment advisory and capital markets (K_U01),
- correctly interpret the results of mathematical analyses and assess their impact on financial decisions in investment portfolio management (K_U02).
In terms of social competences:
- make an assessment and adopt a critical approach to complex phenomena related to the mathematical aspects of investment portfolio management (K_K01).
Assessment criteria
Written test (quiz, open questions, problem-solving tasks), class activity, additional assignments, attendance control, term paper/project. Learning outcomes will be verified on an ongoing basis through tasks performed by participants during classes and at the end of the course upon passing.
Course completion:
• Written test – in-person - open questions, problem-solving tasks, tables, and closed questions.
• Project
A total of 100% points can be obtained.
Grading scale:
0-50% – grade 2
51%-60% – grade 3
61%-70% – grade 3.5
71%-80% – grade 4
81%-90% – grade 4.5
91%-100% – grade 5
One absence per semester are allowed
The use of artificial intelligence tools to create components for course credit is prohibited.
Practical placement
-
Bibliography
Brown, S. J., Elton, E. J., Gruber, M. J., & Goetzmann, W. N. (2017). Modern Portfolio Theory and Investment Analysis. John Wiley & Sons.
Paleologo, G. (2021). Advanced portfolio management: A quant's guide for fundamental investors. John Wiley & Sons.
Notes
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Term 2026Z:
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