2025/2026
Управление портфелем и планирование благосостояния
Статус:
Маго-лего
Кто читает:
Банковский институт
Где читается:
Банковский институт
Когда читается:
2 модуль
Онлайн-часы:
20
Охват аудитории:
для своего кампуса
Преподаватели:
Авалян Хачатур Леваевич
Язык:
английский
Кредиты:
6
Контактные часы:
14
Course Syllabus
Abstract
This course is targeted on a developing of theoretical knowledge and practical skills in the field of securities’ analysis and portfolio management. The Course starts with description of the portfolio approach to investments along with portfolio management related concepts. Subsequently, common measures of portfolio risk and return are introduced followed by the standard Modern Portfolio Theory (MPT). In the end, important concepts related to the active portfolio management will be introduced as well as the aspects related to the behavioral finance. The course is based predominantly on the materials relevant for CFA Level 1 exam
Learning Objectives
- The primary objective of the course is to study the theory relevant for investing, particularly in the context of portfolio management. The major topics will include: • concept of investment risk and its relations to expected return, • financial prices behavior and market efficiency, • rational asset pricing and its implications for portfolio management, • approaches to optimal portfolio selection. In one way or another, most of the course is geared towards the understanding and implementation of “modern portfolio theory,” which is a general approach for minimizing investment risk given a certain level of expected return.
Expected Learning Outcomes
- To describe and discuss major concepts related to the Modern Portfolio Theory.
- To describe the potential benefits for investors in considering multiple risk dimensions when modeling asset returns.
Course Contents
- 1. The portfolio approach to investing; the steps in the portfolio management process; types of investors and distinctive characteristics and needs of each; aspects of the asset management industry, mutual funds and other pooled investment products.
- 2. Major return measures and their appropriate uses, i.e. the money-weighted and time-weighted rates of return
- 3. Characteristics of the major asset classes that investors consider in forming portfolios; risk aversion and its implications for portfolio selection.
- 4. Markowitz theory of portfolio selection. Efficient frontier with risk free asset. Market portfolio (Capital Allocation Line, Capital Market Line).
- 5. Asset pricing application – CAPM. Diversification and beta (Security Market Line).
- 6. Performance evaluation (Sharp Ratio, Treynor’s Ratio, Jensen’s Alpha and M-squared).
- 7. Application of behavioural finance aspects in the portfolio management process: cognitive errors and emotional biases.
- 8. Final test.
Assessment Elements
- Graded test 1
- Graded test 2
- Graded test 3
- Graded test 4
- Graded test 5
- Graded test 6
- Graded test 7
- Final exam
Interim Assessment
- 2025/2026 2nd module0.65 * Final exam + 0.05 * Graded test 1 + 0.05 * Graded test 2 + 0.05 * Graded test 3 + 0.05 * Graded test 4 + 0.05 * Graded test 5 + 0.05 * Graded test 6 + 0.05 * Graded test 7
Bibliography
Recommended Core Bibliography
- Elton, E. J. (2014). Modern Portfolio Theory and Investment Analysis (Vol. Ninth edition). Hoboken, NJ: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1639379
- Pagdin, I., & Hardy, M. (2017). Investment and Portfolio Management : A Practical Introduction (Vol. 1st). London: Kogan Page. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1621031