Кто читает:: Банковский институт

Статус:: Курс обязательный

Когда читается:: 2-й курс, 2 модуль

Преподаватель

Авалян Хачатур Леваевич

Full Syllabus

Abstract

This course on portfolio management would equip students with the necessary toolkit to understand the use of fundamentals of portfolio and risk management, including return and risk measurement, and portfolio planning and construction. It is targeted on a developing of theoretical knowledge and practical skills in the field of securities’ analysis and portfolio management. Course starts with standard Modern Portfolio Theory (MPT) discussing historical background of theory development and consecutive efforts in testing its concepts and statements. Number of potential attempts to improve theory and fix market anomalies contradicting it discussed in consecutive parts of this course. At the end, several most current portfolio theories are presented including behavioral prospect theory and adaptive market hypothesis.

Learning Objectives

The course aims to provide the basic knowledge pertaining to portfolio construction. The course will provide an overview of different return measures such as money weighted and time weighted rates of return and how the correlation (covariance) of returns between assets and between various asset classes affects the risk of portfolios. The portfolio management course would illustrate the concept of risk aversion, how various risk preferences, along with the risk and return characteristics of available portfolios, are used to select an optimal portfolio for a given investor. Such concepts as Capital Allocation Line, Capital Market Line and Security Market Line and various performance evaluation approaches such as Sharp Ration, Treynor’s Ratio, Jensen’s Alpha and M-squared would further enrich the understanding of portfolio management issues.

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

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

Assessment Elements

Test 1
Test 2
Test 3
Test 4
Test 5
Test 6
Test 7
Final Exam

Interim Assessment

2023/2024 2nd module
0.3 * Final Exam + 0.1 * Test 1 + 0.1 * Test 2 + 0.1 * Test 3 + 0.1 * Test 4 + 0.1 * Test 5 + 0.1 * Test 6 + 0.1 * Test 7

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

Магистерская программа «Финансы»

Portfolio Management and Wealth Planning