Portfolio management 2600-MSFRdz2rkdiZP
Lecture
1 Portfolio characteristics - return and risk
- expected rate of return on the portfolio
- portfolio risk
- covariance and correlation coefficient
- utility theory and risk aversion
2 Objectives and constraints of individual and institutional investors
- types of investment portfolios
- investment policy
- investment strategies
- portfolio asset selection
3 Diversification of investment portfolio risk
- diversification by industry/sector
- diversification by different rating categories
- Markowitz diversification
4 CAPM capital asset pricing model
- model structure
- CML (Capital Market Line)
- Security Market Line (SML)
- price arbitrage theory
5. portfolio management
- equity portfolio management
- bond portfolio management
- bootstrapping
- active management
- passive management
- short- and long-term management
Benchmarks and performance evaluation for portfolio management
- performance measures (Sharpe, Treynor, Jensen)
the concept of a benchmark.
Type of course
Mode
Course coordinators
Learning outcomes
Student after completing the course:
In terms of knowledge:
Knows and understands in-depth research methodology and terminology in the field of management and quality science and in complementary disciplines (economics and finance, legal sciences), in particular in the area of financial management and accounting (K_W01)
Knows and understands in-depth the principles, procedures and practices regarding financial management in organizations, accounting, management of financial institutions and strategies of financial institutions (K_W02)
Knows and understands in-depth economic theories and models regarding the functioning of organizations and the entire economy (K_W03)
Knows and understands in-depth legal regulations regarding the functioning of the organization and the entire economy (K_W04)
Knows and understands complex technological, social, political, legal, economic and ecological processes and phenomena and their impact on financial decisions in organizations, the functioning of the organization and the entire economy, including the principles of protection of industrial property and copyright (K_W05)
Knows and understands the principles of creating and developing various forms of entrepreneurship in the national and global dimensions (K_W06)
In terms of skills:
Is able to use the theory of the discipline of management and quality science and complementary sciences (economics and finance, legal sciences) to recognize, diagnose and solve problems related to financial decisions in organizations and management of financial institutions, using the appropriate selection of sources and adapting existing or developing new methods ( K_U01)
Is able to correctly interpret complex technological, social, political, legal, economic and ecological processes and phenomena and their impact on financial decisions in organizations, the functioning of the organization and the entire economy, using the appropriate selection of sources (K_U02)
Is able to independently and collectively prepare analyses, diagnoses and reports on complex and unusual problems related to financial management in organizations, accounting, management of financial institutions and strategies of financial institutions, and present them communicatively, also in English - using IT and communication tools (K_U03)
In terms of attitudes:
Is ready to assess and critically approach complex situations and phenomena related to financial management in organizations, accounting, management of financial institutions and strategists of financial institutions (K_K01)
Is ready to think and act in an entrepreneurial way in the national and global dimensions (K_K02)
Is ready to comply with and develop professional ethical standards (K_K02).
Assessment criteria
Written research papers
Bibliography
Basic item:
Czapiewski P. Niedziółka P. Zarządzanie portfelem inwestycyjnym, Difin, 2016.
Additional items:
Reilly F., Brown K.C. Analiza inwestycji i zarządzania portfelem, PWE, 1997
Ostrowska E. 2011, Portfel inwestycyjny klasyczny i alternatywny, C.H. Beck, Warszawa.
Haugen R. Teoria nowoczesnego inwestowania, 1996 WIG Press.
Reilly F.K., Brown K.C., Investment analysis and portfolio management, Thomson South-Western, Mason 2006
Elton E.J., Gruber M.J., Brown S.J., Modern Portfolio Theory and Investment Analysis, John Wiley & Sons, New York, 2007.
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: