Prowadzony w cyklach: 2022/23L, 2023/24L, 2024/25L, 2025/26L

Kod ISCED: 0311

Punkty ECTS: 6

Język: angielski

Organizowany przez: Katedra Ekonometrii i Statystyki (dla: Wydział Nauk Ekonomicznych i Zarządzania)

Advanced Portfolio Theory 1155-12-E22-0-AdPTh

The lecture and practical classes are in line with the following modules:

1. Investment characteristics.

a) Definitions of risk and return

b) Risk measures relating to statistical distribution of a risk variable

c) Basic portfolio management concepts

2. Stochastic dominance

3. Mean-Variance portfolio theory

a) Markowitz diversification (The Opportunity Set, Delineating Efficient Portfolios, Efficient Frontier without the Risk-Free Asset),

b) Introducing a Risk-Free Asset, Efficient Portfolios without a Risk-Free Asset, Efficient Portfolios with a Risk-Free Asset,

c) Identifying the Tangency Portfolio.

d) Transaction costs

4. The index models

a) The single-index model (Sharpe)

b) The Capital Asset Pricing Model (CAPM)

5. Performance indicators

a) Single-index model performance measurement indicators

b) Roll’s critique

Communication channels with the lecturer:
a) On-line office hours,
b) E-mail,
c) MS Teams chat.

Całkowity nakład pracy studenta

Contact hours with teacher: - participation in lectures - 15 hrs - participation in classes – 30 hrs - consultations - 30 hrs - exams - 5 hrs Self-study hours: - preparation for classes - 40 hrs - preparation for examination- 30 hrs Total: 150 hrs (6 ECTS)

Efekty uczenia się - wiedza

WP1: Student has advanced knowledge of the mean-variance diversification of a portfolio, the single-index model (Sharpe), the Capital Asset Pricing Model, stochastic dominance and risk measures. (K_W06) Since 2024/2025: WP1: Student has advanced knowledge of the mean-variance diversification of a portfolio, the single-index model (Sharpe), the Capital Asset Pricing Model, stochastic dominance and risk measures. (K_W04)

Efekty uczenia się - umiejętności

UP1: Student has the ability to delineate efficient portfolios, efficient frontier without or with the risk-free asset, to identifying the tangency portfolio, to measure risk by applying the index models or a distribution of a risk variable. (K_U015) Since 2024/2025: UP1: Student has the ability to delineate efficient portfolios, efficient frontier without or with the risk-free asset, to identifying the tangency portfolio, to measure risk by applying the index models or a distribution of a risk variable. (K_U04)

Efekty uczenia się - kompetencje społeczne

KP1: Student can cooperate with other students in order to deal with complex data sets, understands the significance of a detailed-oriented work and identifies relations that are binding them. (K_K01) Since 2024/2025: KP1: Student can cooperate with other students in order to deal with complex data sets, understands the significance of a detailed-oriented work and identifies relations that are binding them. (K_K01)

Metody dydaktyczne

Expository teaching methods: - informative and participatory lecture Exploratory teaching methods: - project work, - practical.

Metody dydaktyczne podające

- wykład informacyjny (konwencjonalny)
- wykład konwersatoryjny
- wykład problemowy

Metody dydaktyczne poszukujące

- ćwiczeniowa
- projektu

Metody dydaktyczne w kształceniu online

- metody oparte na współpracy
- metody rozwijające refleksyjne myślenie
- metody ewaluacyjne
- metody służące prezentacji treści
- metody odnoszące się do autentycznych lub fikcyjnych sytuacji

Wymagania wstępne

- linear matrix algebra, - descriptive statistics measures (central tendency, variation and shape, the covariance and the coefficient of correlation), - familiarity with MS Excel and array functions.

Koordynatorzy przedmiotu

W cyklu 2024/25L:

Marcin Fałdziński

W cyklu 2023/24L:

Marcin Fałdziński
Mirosława Żurek

W cyklu 2022/23L:

Mirosława Żurek

W cyklu 2025/26L:

Marcin Fałdziński

Kryteria oceniania

Assessment methods:

- written examination - W1, K1,

- team project – K1, U1, W1

- home assignments – U1, K1, W1

Assessment criteria:

60% written exam + 40% (team project and home assignments)

Additional points are possible to obtain for extra tasks.

Grades:

2 (below 60% of points)
3 (60%)
3+ (70%)
4 (80%)
4+ (85%)
5 (90%)

Literatura

1. Elton E.J., Gruber M.J., Brown S.J., Goetzmann W.N., 2010, Modern Portfolio Theory and Investment Analysis, John Wiley and Sons, New York, 8th edition

2. Francis J.C., Kim D., Modern Portfolio Theory Foundations, Analysis, and New Developments, 2013, Wiley & Sons

3. Markowitz H. M., 2016, Risk-Return Analysis, Volume 2: The Theory and Practice of Rational Investing, McGraw-Hill Education.

4. Levy, Haim., 2011, The Capital Asset Pricing Model in the 21st Century: Analytical, Empirical, and Behavioral Perspectives Illustrated Edition , Cambridge.

5. Markowitz H.M., 1952, Portfolio Selection, Journal of Finance, 7(1), pp. 77-91.

6. Sharpe W.F., Mutual Fund Performance, Journal of Business, January 1966, pp. 119–138.

7. Jensen M.C., 1968, The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance, vol. 23, May, pp. 389-419.

8. Treynor J.L., How to Rate Management of Investment Funds, Harvard Business Review, vol. 43, January–February 1965, pp. 63–75.

9. Treynor J.L., Black F., 1973, How to Use Security Analysis to Improve Portfolio Selection, Journal of Business, vol. 46, no. 1, pp. 61–86.

10. Roll R., 1977, A Critique of the Asset Pricing Theory’s Tests, Journal of Financial Economics, March, pp. 129–176.

11. Sharpe W.F., 1965, Capital asset prices a theory of market equilibrium under conditions of risk, Journal of Finance, vol. 19, pp. 425-442.

12. Linter J., 1965, Security prices, risk and maximal gains from diversification, Journal of Finance, vol. 20, pp. 587-615.

13. Mossin J., 1966, Equilibrium in a capital asset market, Econometrica, vol. 34, pp. 768-783.

Więcej informacji

Dodatkowe informacje (np. o kalendarzu rejestracji, prowadzących zajęcia, lokalizacji i terminach zajęć) mogą być dostępne w serwisie USOSweb:

Strona przedmiotu 1155-12-E22-0-AdPTh w USOSweb