ESF:MPF_TEPO Portfolio Theory - Course Information

MPF_TEPO Portfolio Theory

Extent and Intensity

2/2/0. 6 credit(s). Type of Completion: zk (examination).

Teacher(s)

Mgr. Silvie Zlatošová, Ph.D. (lecturer)
Ing. Luděk Benada, Ph.D. (lecturer)
Ing. Luděk Benada, Ph.D. (seminar tutor)
Mgr. Silvie Zlatošová, Ph.D. (seminar tutor)

Guaranteed by

Ing. Luděk Benada, Ph.D.
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Supplier department: Department of Finance – Faculty of Economics and Administration

Timetable

Tue 14:35–16:15 P104

• Timetable of Seminar Groups:

MPF_TEPO/03: Mon 16:20–17:55 VT204, L. Benada
MPF_TEPO/06: Mon 9:20–11:00 VT105, S. Zlatošová
MPF_TEPO/07: Mon 11:05–12:45 VT204, S. Zlatošová

Prerequisites

Knowledge in microeconomics, Macroeconomics, math, statistic and financial math.

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 140 student(s).
Current registration and enrolment status: enrolled: 0/140, only registered: 0/140, only registered with preference (fields directly associated with the programme): 0/140

fields of study / plans the course is directly associated with

• Finance (programme ESF, M-FU)
• Finance (programme ESF, N-FU)
• Financial and Insurance Mathematics (programme PřF, B-MA)

Course objectives

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.

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
• 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)

Literature

required literature
• ELTON, Edwin J. Modern portfolio theory and investment analysis. Online. 8th ed. Hoboken, N.J.: John Wiley & Sons, 2011. xviii, 727. ISBN 9780470505847. [citováno 2024-04-23] info
• ELTON, Edwin J. Modern portfolio theory and investment analysis. Online. 7th ed. Hoboken, N.J.: John Wiley & Sons, 2007. xviii, 728. ISBN 9780470050828. [citováno 2024-04-23] info

recommended literature
• ČÁMSKÝ, František. Teorie portfolia (Portfolio theory). Online. 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. [citováno 2024-04-23] info
• SHARPE, William F. and Gordon J. ALEXANDER. Investice. Online. Translated by Zdeněk Šlehofr. 4. vyd. Praha: Victoria Publishing, 1994. 810 s. ISBN 80-85605-47-3. [citováno 2024-04-23] info
• BRADA, Jaroslav. Teorie portfolia. Online. 1. vyd. Praha: Vysoká škola ekonomická v Praze, 1996. 160 s. ISBN 8070792590. [citováno 2024-04-23] info

Teaching methods

lectures, during the seminars - solving of problems related to expected return and risk counting of assets, portfolio selection under different conditions, equilibrium pricing models

Assessment methods

Kind of study: 2/2 (lectures/seminars)
Examination: Written test and oral exam
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, control test is successful when students achieve minimaly 60%.
3. Final exam and final classification (final exam consists of two parts- written- there is control test I and control test II, and oral exam)
Each test consists of three problems of different difficulty.
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)

The course is taught annually.
Credit evaluation note: k=1.

Information about innovation of course.

This course has been innovated under the project "Inovace studia ekonomických disciplín v souladu s požadavky znalostní ekonomiky (CZ.1.07/2.2.00/28.0227)" which is cofinanced by the European Social Fond and the national budget of the Czech Republic.

Listed among pre-requisites of other courses

• MPF_APOT Portfolio Theory
  !MPF_TEPO && !NOWANY(MPF_TEPO)  

• Enrolment Statistics (Spring 2016, recent)
  
• Permalink: https://is.muni.cz/course/econ/spring2016/MPF_TEPO