MPF_APOT Portfolio Theory

Ekonomicko-správní fakulta
jaro 2019
Rozsah
2/2/0. 6 kr. Ukončení: zk.
Vyučující
Ing. Luděk Benada, Ph.D. (přednášející)
Garance
Ing. Luděk Benada, Ph.D.
Katedra financí – Ekonomicko-správní fakulta
Kontaktní osoba: Mgr. Jana Nesvadbová
Dodavatelské pracoviště: Katedra financí – Ekonomicko-správní fakulta
Rozvrh
Út 16:00–17:50 S309
  • Rozvrh seminárních/paralelních skupin:
MPF_APOT/01: Út 18:00–19:50 VT204, L. Benada
Předpoklady
Knowledge in microeconomics, Macroeconomics, math, statistic and financial math.
Omezení zápisu do předmětu
Předmět je určen pouze studentům mateřských oborů.

Předmět si smí zapsat nejvýše 24 stud.
Momentální stav registrace a zápisu: zapsáno: 0/24, pouze zareg.: 0/24
Mateřské obory/plány
Cíle předmětu
After passing the course is student able to: make clear the fundamentals of the portfolio theory, the revenue and the risk of securities and the basic principles of portfolio selection, apply gained knowledge to problem areas, which are not taught directly in this course.
Osnova
  • 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 Thematic plan- seminars: 1. Initial seminar – working methods in seminars, clause of classification 2 Kvantification of revenue and risk of assets (revenue and risk of assets, historical attitudes, expert attitudes) 3. Kvantification of expected revenue and risk of portfolio (revenue and risk of portfolio if you know shares, stock exchange trading, risk of change of revenue if you know shares) 4. Permissible and effective group of portfolios construction, indifferent curves (grafical solutions) 5. Control test I 6. Non-risk assets, lending and borrowing (construction portfolio group with non-risk assets (...) revenue in perfect competition, or in non-perfect competition) 7. Defining shares of assets in portfolio (defining shares by Lagrange multiplier, using of stock exchange datas 8. Capital assets appreciation, capital market curve (CML curve; bond market curve) 9. Capital assets market in SML, using of the bond market curve, deciding to buy and sell, systematic and non- systematic risk, one- index model...) 10. Control test II 11. Determining factors of assets revenue, CAPM and APT merging 12. Factor models, beta-factor, revenue and risk of factor portfolios, inflation in the Czech Republic 13. Creating of portfolios (minimally from four instruments which is used in PSE, risk and revenue of this portfolio)
Literatura
    povinná literatura
  • ELTON, Edwin J. Modern portfolio theory and investment analysis. 8th ed. Hoboken, N.J.: John Wiley & Sons, 2011, xviii, 727. ISBN 9780470505847. info
Výukové metody
Lectures and solving particular problems in Excel. It is required an active participation on seminar.
Metody hodnocení
Kind of study: 2/2 (lectures/seminars) Examination: Written tests 1. 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. 2. Final classification of seminars (requirement for successful graduation of this subject is successful first and second control and 70% attendance in seminars, the control test is successful when students achieve minimaly 60%. 3. Final exam and final classification (final exam consists of the everage score from both tests) Each test consists of three problems. Every test has in maximum 15 points. Final mark consists of: 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.
Vyučovací jazyk
Angličtina
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Předmět je vyučován každoročně.
Nachází se v prerekvizitách jiných předmětů
Předmět je zařazen také v obdobích jaro 2016, jaro 2017, jaro 2018, jaro 2020, jaro 2021, jaro 2022, jaro 2023, jaro 2024, jaro 2025.