MKF_TEPO Portfolio Theory

Faculty of Economics and Administration
Spring 2012
Extent and Intensity
0/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
Ing. Luděk Benada, Ph.D. (lecturer)
Mgr. Petr Červinek (lecturer)
Guaranteed by
Mgr. Petr Červinek
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Supplier department: Department of Finance – Faculty of Economics and Administration
Timetable
Sun 26. 2. 12:50–16:15 VT206, Sun 18. 3. 12:50–16:15 VT206, Sun 15. 4. 12:50–16:15 VT206, Sat 28. 4. 12:50–16:15 VT206, Sun 13. 5. 12:50–16:15 VT206
Prerequisites
! KFTEPO Portfolio Theory
Knowledge in microeconomics, Macroeconomics, math, statistic and financial math.
Course Enrolment Limitations
The course is only offered to the students of the study fields the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
Identification basic math methods, which are used in area of evaluation of investing opportunities, portfolio optimalization, appreciation risk or non-risk assets, is basic identification of this subject.
First of all this course is for students, who want work in the area of asset administration in the bank or in the insurance company. Content is divided into two thematic area. Goal of the first area is Markowitz model in standard form, which is extended by non-risk deposits and non-risk borrowings.
Goal of the second area is capital assets appreciation, risk diversification, arbitral theory of appreciation.

Main course objectives are:
Understanding of revenue and risk of securities, understanding of basic principles, understanding of buying portfolios, ability to apply gained knowledge to problem areas, which are not taught directly in this subject.
Syllabus
  • Course of 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 ofweights 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
    required literature
  • ELTON, Edwin J. Modern portfolio theory and investment analysis. 8th ed. Hoboken, N.J.: John Wiley & Sons, 2011, xviii, 727. ISBN 9780470505847. info
  • ELTON, Edwin J. Modern portfolio theory and investment analysis. 7th ed. Hoboken, N.J.: John Wiley & Sons, 2007, xviii, 728. ISBN 9780470050828. info
    recommended literature
  • ČÁMSKÝ, František. Teorie portfolia. 2. přeprac. a rozš. vyd. Brno: Masarykova univerzita, 2007, 115 s. ISBN 9788021042520. 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. POT (Elaboration and transfer of essay, which will be corrected by tutor, following schedule. This is part of self study. Classification of POT is “make or not”. This “make” is neccessarry to enter exam.
2. Final exam consists of two parts- written- there is control test I and control test II, and oral exam)
Control test I and Control test II in seminars will be written by students following the schedule (if student can not participate in one of two tests (not two of two) he or she can apologize (but only teacher will decide if the apology is authorized. There can be one control test more in the beginning of exam period (there can be everything for whole year, which was taught). Classification will be the same as before.
Final mark consists of:
Classification of control test I (25%) + classification of control test II (25%) + oral exam (50%)
Then final classification is following:
A= 92 – 100 %
B= 84 – 91 %
C= 76 – 83 %
D= 68 – 75 %
E= 60 – 67 %
F= less than 60 %

If student will cheat or copy or plagiarize, or sth else what is forbidden, teacher would interupt an exam or test and the student final classification will be following F, or FF, or FFF. Or there can be disciplinary proceedings.
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
General note: Nezapisují si studenti, kteří absolvovali předmět KFTEPO.
The course is also listed under the following terms Spring 2010, Spring 2011, Spring 2013, Spring 2014, Spring 2015, Spring 2016, Spring 2017, Spring 2018, Spring 2019, Spring 2020, Spring 2021, Spring 2022, Spring 2023, Spring 2024.
  • Enrolment Statistics (Spring 2012, recent)
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