(in Polish) Inwestycje finansowe 2600-MFBRdz1IF
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
Type of course
Learning outcomes
Upon completion of the course the student:
in terms of knowledge:
• describes basic concepts related to financial investments, such as classification of financial assets, securities, and markets (K_W01)
• explains the concept of expected return (K_W01)
• describes the characteristics of the distribution of returns (kurtosis, skewness) and the Value-at-Risk method (K_W03)
• classifies returns (nominal, real, risk-free rate, risk premium) (K_W03)
• identifies types of investment risk (K_W03)
• discusses risk measures such as variance and standard deviation (K_W03)
• presents theories regarding the formation of interest rates (liquidity preference, segmentation, expectations) (K_W03)
• describes the fundamentals of asset pricing models, such as the Sharpe model, Markowitz model, CAPM, Capital Market Line (CML), and Security Market Line (SML) (K_W03)
• characterizes performance indicators such as Sharpe, Sortino, Jensen, and Treynor ratios (K_W03)
• explains the application of futures contracts for hedging risk (K_W03)
• presents types of swaps (interest rate, currency) (K_W03)
• characterizes payout functions, rights, and obligations of parties in options transactions (K_W03)
in terms of skills:
• analyzes the classification of returns (nominal, real, risk-free rate, risk premium) in the context of making investment decisions (K_U01)
• identifies types of investment risk (K_U01)
• measures risk using variance and standard deviation (K_U01)
• utilizes covariance and correlation coefficients to diversify risk in an investment portfolio (K_U01)
• calculates the expected return based on historical data and market forecasts (K_U02)
• applies asset pricing models (e.g., Sharpe single-index model, Markowitz model, CAPM) to evaluate investments (K_U02)
• calculates the effectiveness of financial investments using indicators such as Sharpe, Sortino, Jensen, and Treynor ratios (K_U02)
• develops risk hedging strategies using futures contracts (K_U06)
• develops payout functions as well as rights and obligations of parties in transactions (K_U06)
in terms of social competencies:
• assesses the effectiveness of various investment performance indicators (Sharpe, Sortino, Jensen, Treynor) and their application in financial practice (K_K01)
• evaluates the impact of using futures contracts and swaps in managing investment risk on a company's financial strategy (K_K01)
• analyzes investment opportunities across different classes of financial assets, considering economic and political conditions on both national and global scales (K_K04)
• formulates conclusions regarding ethics and responsibility in financial decision-making based on complex situations related to financial markets (K_K05)
Assessment criteria
written exam (open and closed questions)
Written exam in stationary or remote form on the eNauka platform
Completing the exercises remotely on the eNauka 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
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: