(in Polish) Ekonomia finansowa 2600-MFBRz1EF

After completing the course, the student:

In terms of knowledge:

• explains concepts related to equilibrium in the financial market, such as agency theory, consumption and portfolio choice, and the existence of equilibrium (K_W01).
• explains the relationship between risk and expected utility based on the Von Neumann-Morgenstern theory and risk aversion measures according to Arrow-Pratt (K_W01).
• explains the application of equilibrium principles in financial markets, arbitrage theories, portfolio optimization, and volatility in financial management within organizations and strategies of financial institutions (K_W02).
• describes basic models and tests for the functioning of financial markets (K_W03).
• describes the relationship between price volatility and equilibrium in the financial market, as well as the impact of risk neutrality on investment decisions (K_W05).

In terms of skills:

• applies residual tests, ECM models, nonlinear models, and Markov models for predicting stock prices (K_U01).
• analyzes the impact of factor valuation on investment strategies in the context of long-term futures markets (K_U01).
• analyzes normality tests, random walks, and cointegration in financial market modeling (K_U02)
• identifies the differences between optimal portfolios considering one or several risks (K_U02).
• explains the impact of different market behavior models on asset valuation and investment decisions (K_U02).

In terms of social competences:

• assesses the implications of the Efficient Market Hypothesis (EMH) for investors using appropriate statistical tools (K_K01).
• assesses the application of variance analysis in portfolio valuation and risk models (K_K01)

Lecture: Written exam (test, open questions, tasks)
Exercises: ongoing assessment (current preparation for classes and activity), mid-semester written tests, attendance control, semester work. The necessary condition to pass the exercises is to submit the project.
Learning outcomes will be verified on an ongoing basis by means of tasks performed by participants during the exercises and finally by passing the exercises (test) and the exam.

Lecture:
• written exam (100% mark)
• very good grade in exercises (20% of the grade)
• additional points for activity 10%

Exercises:
• 10% work in classes,
• 70% group project;
• 20% final test

In total, you will be able to score 30 points during the exam, the number of which will determine the final grade:
0-50% points – grade 2
51%-60% of points – grade 3
61%-70% of points – rating 3.5
71%-80% of points – grade 4
81%-90% of points – rating 4.5
91%-100% points – grade 5

In total, you will be able to earn 100 points during the exercises, the number of which will determine the final grade:
0-50 points – grade 2
51-60 points – grade 3
61-70 points – rating 3.5
71-80 points – grade 4
81-90 points – rating 4.5
91-100 points – grade 5

Patrycja Chodnicka-Jaworska, Piotr Jaworski, Wrażliwość rynku akcji na publikacje danych rynkowych w czasie pandemii COVID-19, Wydawnictwo Naukowe Wydziału Zarządzania UW, 2020;
Patrycja Chodnicka-Jaworska, Credit rating na rynku finansowym, PWE, 2019;
Krzysztof Jajuga, Teresa Jajuga, Inwestycje, PWN, 2015;
Stephen F. LeRoy, Jan Werner, Principles of Financial Economics, Cambridge University Press 2 edition, 2014;
Keith Cuthbertson, Dirk Nitzsche, Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, 2nd Edition, Wiley, 2004.

Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system:

• Description of 2600-MFBRz1EF in USOSweb