PFTEPO Portfolio Theory

Faculty of Economics and Administration
Spring 2009
Extent and Intensity
2/2/0. 5 credit(s). Type of Completion: zk (examination).
Teacher(s)
Mgr. Petr Červinek (lecturer)
Mgr. Petr Červinek (seminar tutor)
Guaranteed by
prof. Ing. Jiří Dvořák, DrSc.
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Timetable
Mon 11:05–12:45 P101
  • Timetable of Seminar Groups:
PFTEPO/1: Mon 12:50–14:30 VT105, P. Červinek
PFTEPO/2: Mon 14:35–16:15 VT105, P. Červinek
PFTEPO/3: Mon 16:20–17:55 VT206, P. Červinek
PFTEPO/4: Mon 18:00–19:35 VT206, P. Červinek
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 96 student(s).
Current registration and enrolment status: enrolled: 0/96, only registered: 0/96, only registered with preference (fields directly associated with the programme): 0/96
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.
  • Thematic plan - seminars:
  • 1. Introductory seminar – methods of work in seminars, exam requirements.
  • 2 Quantification of revenue and risk of assets (revenue and risk of assets, historical attitudes, expert attitudes).
  • 3. Quantification 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. Check 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 data).
  • 8. Capital assets appreciation, capital market curve (CML curve; bond market curve).
  • 9. Capital assets market in SML, using bond market curve, deciding to buy and sell, systematic and non- systematic risk, one- index model...).
  • 10. Check 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.
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
Form of instruction: 2/2 (lectures/seminars).
Examination: Written test and oral exam.

1. Check tests I and II in seminars will be taken by students following the schedule (if student cannot participate in one of the two tests (not in 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.
2. Final marking of seminars. Requirements: passing both check tests (pass mark 60%), attendance at seminars (60%).
3. Final exam and final marking. Final exam consists of two parts - written (check test I and II) and oral exam.
Final mark consists of:
- check test I (25%) + check test II (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
Study Materials
The course is taught annually.
The course is also listed under the following terms Spring 2002, Spring 2003, Spring 2004, Spring 2005, Spring 2006, Spring 2007, Spring 2008.
  • Enrolment Statistics (recent)
  • Permalink: https://is.muni.cz/course/econ/spring2009/PFTEPO