6sem 1
TRANSCRIPT
-
8/10/2019 6sem 1
1/5
-
8/10/2019 6sem 1
2/5
8. Content
8. 1 CourseTeaching
methodsRemarks
Introduction in portfolio management theory
Lecture and
debates with
students. The
The course notes will
be available for
download on the
delivery equipment
5.2. regarding seminar
delivery The seminars will take place in classrooms with internet access
6. Specific competencies acquired
Professional
competencies C1 - Operating with scientific concepts and methods in interdisciplinary areas;
C4 - The use of the elements characteristic to the capital market and the
fundamentals of the financial markets theory in investment analysis and portfolio
management;
7. Objectives of the discipline (outcome of the acquired competencies)
7.1 General objective of
the discipline
The course introduces the concept of portfolio theory to investments, individual
and institutional. Subjects cover portfolio risk and return measures andintroduce modern portfolio theory - a quantitative framework for portfolio
selection and asset pricing, and focuses on the portfolio planning and
construction process. Students, upon graduation, will be able to:
-Explain meanvariance analysis and its assumptions, and calculate theexpected return and the standard deviation of return for a portfolio of two or
more assets: asset allocation , portfolio construction and revision
performance evaluation and performance presentation
-Describe the minimum-variance and efficient frontiers, and explain the steps to
solve for the minimum-variance frontier; perform a case study with specificcompanies, listed on local stock exchange.
-Explain the benefits of diversification and how the correlation in a two-assetportfolio and the number of assets in a multi-asset portfolio improve the
diversification benefits
-Explain the capital allocation and capital market lines (CAL and CML) and the
relation between them, and calculate the value of one of the variables givenvalues of the remaining variables
-Explain the capital asset pricing model (CAPM), including its underlying
assumptions and the resulting conclusions; perform a specific, with real basedstocks, portfolio composition exercise and defend the findings
-Explain the security market line (SML), the beta coefficient, the market risk
premium, and the Sharpe ratio, and calculate the value of one of these variables
given the values of the remaining variables
-Explain the market model, and state and interpret the market modelspredictions with respect to asset returns, variances, and covariances; understand
and apply economic analysis in setting Capital Market expectations
7.2 Specific objectives of
the discipline
- Accommodating the students with the key elements of capital markets, with
the fundamentals of financial markets theory and with the methods and
techniques for issuing, pricing and trading on financial markets;- Evaluating financial assets, assessing their risk and return;
- Operating with the market model and with models for portfolio management;
- Estimating the normal rate of return for a financial asset and evaluating it;
- Operating with various strategies for portfolio management and measuringtheir performance.
-
8/10/2019 6sem 1
3/5
lectures are
supported by
power-point
presentations,
word and excel
applications and
by access tomultimedia
resources.
program site prior to
every activity.
It is recommended
that the students
should read the
course notes in
advance so that theywill be able to
participate in debates.
Issuing, pricing and evaluating stocks and bonds 1 lecture Interactive lecture
Security expected return and standard deviation 1 lecture Idem
Expected return and standard deviation for portfolios.
Mean-variance combinations
1 lectureIdem
The market model. Market indices, local, global 1 lectures Idem
The risk and returns of financial assets portfolios:
Calculate beta, and explain the use of adjusted and
historical betas as predictors of future betas
1 lectures
Idem
Markowitz and Sharpe models for selecting efficient
portfolios. The capital allocation line (CAL) and the
capital market line (CML) for selecting efficient
portfolios.
2 lectures
Idem
CAPM, SML and multi-factorial models-Describe the arbitrage pricing theory (APT), including its
underlying assumptions and its relation to the multifactor
models, calculate the expected return on an asset given anassets factor sensitivities and the factor risk premiums,
investigate arbitrage opportunity, including how to exploitthe opportunity
-Describe and compare macroeconomic factor models,
fundamental factor models, and statistical factor models
-Calculate the expected return on a portfolio of two stocks,given the estimated macroeconomic factor model for each
stock
2 lectures
Idem
Under/Overvaluation of assets according to CAPM 1 lecture Idem
Measurement Methods of Portfolio Management
Performance; Alternative Investments Management
Strategies.
1 lecture Idem
Risk management by using derivatives. Types of
derivatives instruments and their characteristics,
markets.
1 lecture
VaR for individual assets and for portfolios 1 lecture Idem
Bibliography:
-
John L. Maginn (Editor), Donald L. Tuttle (Editor), Dennis W. McLeavey (Editor), Jerald
E. Pinto (Editor),Managing Investment Portfolios: A Dynamic Process, 3rd Edition, 2007
-
Michael G. McMillan, CFA, Jerald E. Pinto, Wendy Pirie, CFA, Gerhard Van de Venter,
CFA,Investments: Principles of Portfolio and Equity Analysis, 2011
- Jerald E. Pinto, Elaine Henry, CFA, Thomas R. Robinson, John D. Stowe, CFA, Abby
Cohen, CFA (Foreword by),Equity Asset Valuation, 2nd Edition, 2010
-
8/10/2019 6sem 1
4/5
-
Bodie Z., Kane A., Marcus A.,Investments, 6th edition, McGraw-Hill/Irwin, 2005
-
Scientific papers and study cases related to the subject of the course.
-
Altr, Moise,Portfolio Management, www.dofin.ase.ro, 2000.
-
Maginn, J. L. et al.,Managing Investment Portfolios: A Dynamic Process, Wiley, 2007.
-
Solnik, McLeavey, Global Investments, 6th ed., Addison-Wesley, 2008.- Stancu Ion:Finance, 4th editon, Ed. Economic, Bucureti, 2007, part I-a and part II
- Stancu Ion (editor):Fundamental Articles in Finance, ASE, Bucureti, 1998.
8. 2 Seminar/lab activitiesTeaching
methodsRemarks
Computing and interpreting the risk and return of
individual financial assetsCase studies. Interactive seminar.
Computing and interpreting the risk and return of
financial assets portfoliosCase studies. Interactive seminar.
Employing Markowitz and Sharpe models for
selecting efficient portfoliosCase studies. Interactive seminar.
Employing CAPM and multifactorial models for
financial assets valuation
Compare underlying assumptions and conclusions of
the CAPM and APT model, and explain why an
investor can possibly earn a substantial premium for
exposure to dimensions of risk unrelated to market
movements.
Case studies. Interactive seminar.
Establishing under/overvaluation of financial assets
according to CAPMCase studies. Interactive seminar.
Measurement Methods of Portfolio Management
Performance; Alternative Investments Management
Strategies
Case studies. Interactive seminar.
Applying measures of risk in understanding overall
portfolio risk: VaR for individual assets and portfoliosCase studies. Interactive seminar.
Bibliography:
- John L. Maginn (Editor), Donald L. Tuttle (Editor), Dennis W. McLeavey (Editor), Jerald
E. Pinto (Editor),Managing Investment Portfolios: A Dynamic Process, 3rd Edition, 2007
- Michael G. McMillan, CFA, Jerald E. Pinto, Wendy Pirie, CFA, Gerhard Van de Venter,
CFA, Lawrence E. Kochard, CFA (Foreword by),Investments: Principles of Portfolio and
Equity Analysis, 2011
-
Jerald E. Pinto, Elaine Henry, CFA, Thomas R. Robinson, John D. Stowe, CFA, Abby
Cohen, CFA (Foreword by),Equity Asset Valuation, 2nd Edition, 2010-
Bodie Z., Kane A., Marcus A.,Investments, 6th edition, McGraw-Hill/Irwin, 2005
-
Maginn, J. L. et al.,Managing Investment Portfolios: A Dynamic Process, Wiley, 2007
-
Solnik, McLeavey, Global Investments, 6th ed., Addison-Wesley, 2008
-
Stancu, I., Stancu Dumitra, Corporate Finance with Excel, Ed Economic, Bucureti, 2010
- Scientific papers and study cases related to the subject of the course.
-
8/10/2019 6sem 1
5/5
10. Evaluation
Type of activity 10.1 Evaluation criteria 10.2 Evaluation methods
10.3 Share in
the final
grade (%)
10.4 Course
Minimum 80% attendance
at scheduled activities.
Involvement in the lecture
with comments, questions
and examples.
Final exam (project
presentation)50%
10.5 Seminar/lab
activities
Minimum 80% attendanceat scheduled activities.
Involvement in the lecture
with comments, questions
and examples
Final exam (project
presentation)50%
10.5 Minimum performance standard
Elaborating a project for selecting efficient portfolios
Date of syllabus
proposal
Signature of the professor for the
course,
Signature of the professor for the
seminar,
10.09.2013 Prof. univ. dr. Ion Stancu Prof. univ. dr. Ion Stancu
Date of the approval in the
departmentSignature of the Head of the department,
12.09.2013 Conf. univ. dr. Lucian Ttu
9. Corroborating the content of the discipline with the expectations of the epistemic
community, professional associations and relevant employers
The syllabus of the course is discussed with experts from CFA Romnia (Chartered Financial
Analyst), as well as with specialists and representatives of notable companies in the field of
financial markets, investment management, private banking, investment brokerage, etc.