MKF_TEPO Portfolio Theory

Faculty of Economics and Administration
Spring 2020
Extent and Intensity
26/0/0. 6 credit(s). Type of Completion: zk (examination).
Ing. Luděk Benada, Ph.D. (lecturer)
Mgr. Silvie Zlatošová, Ph.D. (lecturer)
Guaranteed by
Mgr. Silvie Zlatošová, Ph.D.
Department of Finance - Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Supplier department: Department of Finance - Faculty of Economics and Administration
Fri 21. 2. 12:00–15:50 VT204, Fri 6. 3. 16:00–19:50 VT204, Fri 3. 4. 16:00–19:50 VT204, Sat 18. 4. 12:00–15:50 VT204
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.
Learning outcomes
Student will be able to: - apply knowledge of the key characteristic (return, risk, liquidity) of traded equity securities
- quantify the expected price price development of a security
- valuate securities
- create a portfolio in the line with Markowitz´s and Sharpe concept
- solve the portfolio problem with weight restricktion (short sell, max. weight of a security)
  • 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
    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
    recommended literature
  • The basics of financean introduction to financial markets, business finance, and portfolio management. Edited by Frank J. Fabozzi - Pamela Peterson Drake. Hoboken, NJ: Wiley, 2010. xiii, 604. ISBN 9780470609712. info
  • Securities analysis and portfolio management. Edited by V. A. Avadhani. 9th rev. ed. Mumbai [India]: Himalaya Pub. House, 2009. 584 p. ISBN 9788184880410. 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
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
Examination: Written
1.Control test, in the seminars students will write in 3.tutorial
2.Closing evaluation of the results of the work - a condition of participation in the test is successful completion of the planned test; condition for the successful completion of control test is a formal evaluation of 60% or more.
3. The test results and evaluation (exam has two parts - through part, which consists of a Control test, and final part, which consists of a Final test).
The final mark is made up of:
Control test I assessment (50%) + Final test (50%)
To evaluate the performance of students in the test the following scale:
A = 92 - 100%
B = 84 - 91%
C = 76 - 83%
D = 68 - 75%
E = 60 - 67%
F = less than 60%

Any copying, recording or obtaining tests, use of unauthorized tools as well as other means of communication or objectivity distortion test (credit) will be considered as failure to comply with the course completion and a gross violation of regulations. Consequently, teacher close examination (credit) in the evaluation of IS grade "F" and the Dean initiates disciplinary proceedings which may result in up to exclusion from the study.
Language of instruction
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
Information on the extent and intensity of the course: tutorial 16 hodin.
The course is also listed under the following terms Spring 2010, Spring 2011, Spring 2012, Spring 2013, Spring 2014, Spring 2015, Spring 2016, Spring 2017, Spring 2018, Spring 2019, Spring 2021.
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