Магистратура
2019/2020
Управление инвестиционными проектами
Лучший по критерию «Полезность курса для Вашей будущей карьеры»
Лучший по критерию «Полезность курса для расширения кругозора и разностороннего развития»
Лучший по критерию «Новизна полученных знаний»
Статус:
Курс по выбору (Финансовый аналитик)
Направление:
38.04.08. Финансы и кредит
Кто читает:
Банковский институт
Где читается:
Банковский институт
Когда читается:
2-й курс, 1 модуль
Формат изучения:
без онлайн-курса
Прогр. обучения:
Финансовый аналитик
Язык:
английский
Кредиты:
3
Контактные часы:
30
Course Syllabus
Abstract
The course might be useful for finance professionals involved in complex investment projects at all stages of projects’ lifecycle: from generation and preliminary analysis of business ideas to deal closure and investment monitoring. The course includes business-planning procedures, financial modelling, risk analysis, documentation and consideration of various sources of financing to arrive at an optimal timing and structure of funding.
Learning Objectives
- The purpose of the course is to develop a set of skills relevant for those managing investment projects. The course is based on real-life cases derived from the teacher’s extensive hands-on experience in project finance. It includes international “best practices” applied locally by multinational financial organizations.
Expected Learning Outcomes
- After successfully completing this course students will be able to describe and discuss major concept and controversies of Modern Portfolio Theory, it’s testing results and practical usage. Students will be able to select and back-test optimal investment portfolio using MVO techniques in MS Excel. Additionally, some more current portfolio and risk management models and techniques will be practically presented.
Course Contents
- Portfolio Management course road map. Measuring historical return.
- Expected return and concept of investment risk. EMH and Random Walk of market price. Normal distribution assumption. First practical case (performance measurement).
- Rational investor’s choice and Utility theory. Investor’s objective on practice Investment Policy Statement.
- Markowitz theory of portfolio selection. Efficient frontier with risk free asset. Market portfolio. Mean Variance Optimization (MVO) portfolio. Second practical case (Efficient frontier and MVO portfolio).
- Asset pricing application – CAPM. Diversification, marginal risk, beta.
- CAPM empirical testing and evidences. Arbitrage pricing theory. Alternative pricing models review.
- Critics of rational financial economics. Market anomalies. Asset pricing in behavioural finance. Third practical case (assets beta).
- Non-random walk and active portfolio management. Forecasting and estimation of capital market expectations. Quantitative portfolio management.
Interim Assessment
- Interim assessment (1 module)0.7 * Final exam + 0.2 * home assignment + 0.1 * participation in class discussions
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
- 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
- Raja, M., & Raja, R. (2016). Equity Trading and Investment Analysis Using R: A Case Study. IUP Journal of Computer Sciences, 10(1/2), 108–117. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=iih&AN=115909799
- Ruggiero Jr., M. A. (2012). Managing portfolio risk with Leverage Space. Futures: News, Analysis & Strategies for Futures, Options & Derivatives Traders, 41(6), 38. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=f5h&AN=75261886