Магистратура
2026/2027
Управление портфелем и планирование благосостояния
Статус:
Курс обязательный (Финансы)
Кто читает:
Банковский институт
Где читается:
Банковский институт
Когда читается:
2-й курс, 2 модуль
Онлайн-часы:
20
Охват аудитории:
для своего кампуса
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
- Describe the portfolio approach to investing
- Define the steps in the portfolio management process
- Understand the investment needs of different types of investors
- Understand the historical return and risk rankings of the major asset classes and how the correlation (covariance) of returns between assets and between various asset classes affects the risk of portfolios
- Calculate and interpret major return measures and describe their appropriate uses
- Explain the concept of risk aversion and its implications for portfolio selection
- Describe the effect on a portfolio’s risk of investing in assets that are less than perfectly correlated
- Understand the implications of combining a risk-free asset with a portfolio of risky assets
- Define the capital allocation line (CAL) and the capital market line (CML)
- Explain the capital asset pricing model (CAPM), including its assumptions, and the security market line (SML)
- Calculate and interpret the expected return of an asset using the CAPM
- Describe and demonstrate applications of the CAPM and the SML
- Calculate and interpret various performance appraisal measures
- Describe risk and return objectives and how they might be developed
- Explain the specification of asset classes in relation to asset allocation
- Understand the framework for risk management
- Compare and contrast cognitive errors and emotional biases
- 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
- Portfolio Management – An overview
- Portfolio risk and return: part I
- Portfolio risk and return: part II
- Portfolio risk and return: part III
- Portfolio risk and return: part IV
- Portfolio appraisal
- Portfolio construction and behavioral biases
- 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
- Seven Graded Tests
- Final TestThe final test result is the blocking exam (that is blocking element of assessment). In case the grade for the blocking element of assessment is unsatisfactory, the general mid-term grade is to be equal to the blocking element of assessment grade until the moment when student gets the satisfactory grade for the blocking element of assessment. As soon as the student gets the satisfactory grade for the blocking element of assessment (at the retake), the mid-term grade for the discipline is to be counted based on the received positive grade.
Bibliography
Recommended Core Bibliography
- Dempsey, M. (2020). Investment Analysis : An Introduction to Portfolio Theory and Management. London: Routledge. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2278900
- 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
Recommended Additional Bibliography
- Bertrand, P., & Lapointe, V. (2018). Risk-based strategies: the social responsibility of investment universes does matter. Annals of Operations Research, 262(2), 413–429. https://doi.org/10.1007/s10479-015-2081-4