MPF_TEPO Portfolio Theory

Faculty of Economics and Administration
Spring 2020
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)
Ing. Lukáš Marek (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 14:00–15:50 P104
  • Timetable of Seminar Groups:
MPF_TEPO/01: Mon 16:00–17:50 VT204, L. Benada
MPF_TEPO/02: Mon 8:00–9:50 VT202, 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: 32/140, 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
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)
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. 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
  • ČÁMSKÝ, František. Teorie portfolia. 2. přeprac. a rozš. vyd. Brno: Masarykova univerzita, 2007. 115 s. ISBN 9788021042520. 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)
Study Materials
The course is taught annually.
Credit evaluation note: k=1.
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.
  • Enrolment Statistics (recent)
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