Summer Semester 2009/10
Investment Portfolio Management (elective) I36017B
Course content:
1. Capital market, financial instruments
2. Capital asset pricing models.
3. Elements of portfolio theory.
4. Risk-adjusted performance measures: Sharpe ratio, Treynor ratio, Jensen ratio.
5. Value-at-Risk and Expected Shortfall as risk measures.
6. Investment fund performance evaluation using market-timing models.
7. Statistical measures of investment portfolio dynamics (ADF measure).
8. Multiple criteria decision making: AHP, ELECTRE, PROMETEE methods.
Learning outcomes:
Knowledge and abilities to using capital asset pricing models, risk measures, investment performance evaluation models, multi criteria methods etc.
(in Polish) Rodzaj przedmiotu
Course coordinators
Bibliography
a) basic references:
Haugen R.A. "Teoria nowoczesnego inwestowania", WIG-Press, Warszawa, 1996.
Luenberger D. "Teoria inwestycji finansowych", PWN, Warszawa, 2003
Elton E.J., Gruber M.J. "Nowoczesna teoria portfelowa i analiza papierów wartościowych", WIG-Press, Warszawa, 1998
Trzeskalik T. (red.) "Metody wielokryterialne na polskim rynku finansowym", PWE, Warszawa, 2006
b) supplementary references:
Osińska M. "Ekonometria finansowa", PWE, Warszawa, 2006
Jajuga K., Jajuga T. "Inwestycje finansowe", PWN, Warszawa, 2007