KFTEPO Portfolio Theory

Faculty of Economics and Administration
Spring 2009
Extent and Intensity
0/0. 5 credit(s). Type of Completion: zk (examination).
Teacher(s)
Mgr. Petr Červinek (lecturer)
Guaranteed by
prof. Ing. Viktória Čejková, Ph.D.
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Timetable
Sun 8. 3. 8:30–11:50 VT206, Sat 28. 3. 16:20–19:30 VT206, Sat 25. 4. 12:50–16:15 VT206
Prerequisites
Knowledge of microeconomics, macroeconomics, mathematics, statistics and financial mathematics.
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
The capacity limit for the course is 70 student(s).
Current registration and enrolment status: enrolled: 0/70, only registered: 0/70, only registered with preference (fields directly associated with the programme): 0/70
fields of study / plans the course is directly associated with
Course objectives
Students will become familiar with basic mathematical methods used to evaluate investment variants, portfolio optimalization, and evaluation of risk and non-risk assets.
The course has been created especially for students who want to work in the area of asset administration in commercial banks or insurance companies. The course content is divided into two thematic areas.
The first one deals with Markowitz model in a standard form which is further extended by non-risk deposits and non-risk borrowings. The other section looks at capital assets appreciation, risk diversification, and arbitrary theory of appreciation.
At the end of the course students will be familiar with:
- basics of portfolio theory, the process of evaluation securities revenue and securities risks, and securities portfolio compilation.
At the end of the course students will be able to:
- apply gained knowledge to problem areas not taught directly in this course.
Syllabus
  • Lectures:
  • 1. Introduction to Theory of portfolio.
  • 2. Assets in Theory of portfolio, revenue, risk, changes of its revenue.
  • 3. Expected revenue, change of portfolio revenue.
  • 4. Markowitz model, system of acceptable portfolios in the area of revenue and risk.
  • 5. Group of effective portfolios in Sharpe and Markowitz.
  • 6. Non-risk assets, sell short, borrowing and lending.
  • 7. Math models for defining offweights in portfolio, optimal portfolio, risk minimizing.
  • 8. Model of appreciation capital assets CAPM, capital market line.
  • 9. Model of appreciation capital assets SML, capital market line.
  • 10. One index model and defining of share of stocks in portfolio (sell short, or not , Elton-Gruber).
  • 11. Factor models, consolidation of CAPM and APT.
  • 12. “Morefactors” models, influence of inflation, stock revenue, portfolio revenue.
  • 13. Czech capital market porfolio,creation, liquidity.
Literature
  • ČÁMSKÝ, František. Teorie portfolia. 2. přeprac. a rozš. vyd. Brno: Masarykova univerzita, 2007, 115 s. ISBN 9788021042520. info
  • ELTON, Edwin J. Modern portfolio theory and investment analysis. 7th ed. Hoboken, N.J.: John Wiley & Sons, 2007, xviii, 728. ISBN 9780470050828. info
  • ČÁMSKÝ, František. Teorie portfolia (Portfolio theory). druhé doplněné. Brno, Šlapanice, Brněnská 252/29: Olprint, Jaroslav Olejko, 2007, 123 pp. AA-5,91 VA-6,06. ISBN 978-80-210-4252-0. info
  • ČÁMSKÝ, František. Teorie portfolia. 1. vyd. V Brně: Masarykova univerzita, 2001, 136 s. ISBN 8021025093. info
  • SHARPE, William F. and Gordon J. ALEXANDER. Investice. Translated by Zdeněk Šlehofr. 4. vyd. Praha: Victoria Publishing, 1994, 810 s. ISBN 80-85605-47-3. info
  • BRADA, Jaroslav. Teorie portfolia. 1. vyd. Praha: Vysoká škola ekonomická v Praze, 1996, 160 s. ISBN 8070792590. info
Assessment methods
Examination: Written and oral
1. Students need to elaborate and hand over their seminar paper (based on self-study) and have it marked by a tutor with PASSED within a set time schedule.
2. Final exam consists of two parts: written (check test I and II) and oral exam.
Check tests I and II will be taken by students following the schedule (if student cannot take one of the two tests (not neither of them) he/she can apologize (apologies will be judged individually by a teacher). There may be set an alternative date for a check test in the beginning of the exam period which will test topics taught throughout the whole course. Marking will be the same as before.
Final mark consists of:
Check tests I and II (25% and 25%), oral exam (50%)
Marking scale:
A= 91 – 100 %
B= 84 – 90 %
C= 76 – 83 %
D= 68 – 75 %
E= 60 – 67 %
F= less than 60 %

In a case of misconduct (e.g. use of forbidden study aids, copying, leaking test instructions to other students), the teacher may interrupt the exam and enter a mark (F, or FF, or FFF) in the IS to the respective student according to the seriousness/gravity of his/her behaviour/acting/misconduct.
Language of instruction
Czech
Further Comments
The course is taught annually.
The course is also listed under the following terms Spring 2007, Spring 2008.
  • Enrolment Statistics (recent)
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