Portfolio management 2600-MSFRz2buZP
Investment Portfolio Management Process
a. Identification of investment goals and determination of investment strategy
b. Selection of portfolio assets
Rate of Return and Risk
a. Methods for estimating the expected rate of return on investment
b. Types of investment risk and methods for measuring them
Selection of the Optimal Two-Asset Investment Portfolio
a. Efficient frontier analysis and the trade-off between risk and return
b. Calculation of expected return and standard deviation for a two-asset portfolio
Selection of the Optimal Multi-Asset Portfolio
a. Application of Markowitz's model for portfolio optimization
b. Use of correlation coefficients to reduce risk
Measurement and Diversification of Portfolio Risk
a. Risk measurement indicators such as beta and Value-at-Risk (VaR)
b. Portfolio diversification strategies across different asset classes
Benchmarks and Performance Monitoring of the Investment Portfolio
a. Selection of an appropriate benchmark for portfolio performance evaluation
b. Methods for assessing portfolio performance, e.g., Sharpe and Treynor ratios
Management of Fixed-Income Instrument Portfolios
a. Interest rate risk analysis and bond portfolio immunization strategies
b. Investment strategies for bonds, such as the laddering strategy
Type of course
Mode
Learning outcomes
Upon completion of the course the student:
in terms of knowledge:
• Characterizes the investment portfolio management process, including the identification of investment goals and methods for portfolio monitoring and rebalancing (K_W01).
• Explains the concept of the rate of return and classifies types of investment risk, including systematic and unsystematic risk (K_W03).
• Describes methods for selecting the optimal two-asset investment portfolio, considering efficient frontier analysis and the trade-off between risk and return (K_W03).
• Explains the principles of multi-asset portfolio optimization using Markowitz’s model and the analysis of correlation coefficients between assets (K_W03).
• Discusses methods for measuring portfolio risk, such as the beta coefficient and Value-at-Risk (VaR), and presents portfolio diversification strategies (K_W03).
• Characterizes benchmarks used for evaluating portfolio performance and explains the application of Sharpe, Treynor, and Jensen ratios in performance analysis (K_W03).
• Presents the principles of fixed-income portfolio management, including interest rate risk analysis and investment strategies such as bond portfolio immunization and laddering strategy (K_W03).
in terms of skills:
• Analyzes the investment portfolio management process by identifying investment goals and assessing the effectiveness of portfolio rebalancing strategies (K_U01).
• Identifies and classifies types of investment risk and evaluates their impact on investment decisions (K_U01).
• Calculates the expected rate of return and standard deviation for a two-asset portfolio using appropriate mathematical models (K_U02).
• Utilizes Markowitz’s model to construct an optimal multi-asset portfolio and analyzes correlation coefficients between assets to diversify risk (K_U02).
• Measures portfolio risk using indicators such as beta and Value-at-Risk (VaR) and applies diversification techniques to minimize risk (K_U01).
• Applies Sharpe, Treynor, and Jensen ratios to evaluate investment portfolio performance and compares results with a selected benchmark (K_U02).
• Selects appropriate strategies for managing a fixed-income portfolio, including analyzing the impact of interest rate changes and applying immunization and laddering strategies (K_U06).
in terms of social competencies:
• assesses the effectiveness of investment portfolio management strategies and their impact on financial results in different market conditions (K_K01)
• analyzes the consequences of investment decisions, considering the level of risk and return, and their impact on long-term financial stability (K_K01)
• considers the potential for portfolio diversification in the context of changing macroeconomic and political conditions, both on the domestic and global markets (K_K04)
• makes investment decisions consciously, guided by principles of ethics, social responsibility, and sustainable development in finance (K_K05)
• collaborates in teams analyzing investment strategies, skillfully justifying decisions and proposing optimal solutions aligned with investment goals (K_K06)
• is open to continuous improvement and development in investment portfolio management, staying updated with the latest trends and changes in financial regulations (K_K08)
Assessment criteria
• activity in classes (exercises, case studies)
• project (group work)
• attendance in classes
Bibliography
Basic item:
Reilly F., Brown K.C. Analiza inwestycji i zarządzania portfelem, PWE, 1997
Czapiewski P. Niedziółka P. Zarządzanie portfelem inwestycyjnym, Difin, 2016.
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: