Winter Semester 2011/12
Winter Semester 2012/13
Winter Semester 2013/14
Winter Semester 2014/15
Winter Semester 2015/16
Investment Portfolio Management (elective) IN084105
Course content:
Capital market, financial instruments
Capital asset pricing models.
Elements of portfolio theory.
Risk-adjusted performance measures: Sharpe ratio, Treynor ratio, Jensen ratio.
Value-at-Risk and Expected Shortfall as risk measures.
Investment fund performance evaluation.
Learning outcomes:
Knowledge and abilities to using capital asset pricing models, risk measures, investment performance evaluation models.
(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.
Jajuga K., Jajuga T. "Inwestycje finansowe", PWN, Warszawa, 2007.
b) supplementary references:
Osińska M. "Ekonometria finansowa", PWE, Warszawa, 2006.