Portfolio Analysis and Risk Management - JEM092

• Title: Portfolio Analysis and Risk Management
• Guaranteed by: Institute of Economic Studies (23-IES)
• Faculty: Faculty of Social Sciences
• Actual: from 2015 to 2015
• Semester: winter
• E-Credits: 6
• Examination process: winter s.:
• Hours per week, examination: winter s.:2/2, Ex [HT]
• Capacity: unlimited / unlimited (unknown)
• Min. number of students: unlimited
• 4EU+: no
• Virtual mobility / capacity: no
• State of the course: taught
• Language: English
• Teaching methods: full-time
• Teaching methods: full-time
• Additional information: http://samba.fsv.cuni.cz/~dedek
• Note: course can be enrolled in outside the study plan; enabled for web enrollment; priority enrollment if the course is part of the study plan
• Guarantor: prof. Ing. Oldřich Dědek, CSc.
• Teacher(s): prof. Ing. Oldřich Dědek, CSc.; Mgr. Matěj Kuc, Ph.D.; PhDr. Karolína Vozková, Ph.D.
• Class: Courses for incoming students

Annotation

English

Last update: PhDr. František Čech, Ph.D. (31.01.2023)

The course provides basic foundations of modern asset pricing theory and aims at students interested in investment decisions, portfolio theory and risk management. Topics covered include portfolio and diversification theory, equilibrium capital markets and portfolio performance measures.

There are no formal course requirements. However, knowledge up to the level of Statistics (JEB105), Econometrics I & II (JEB109, JEB110) and Data Science with R I (JEM227) courses is assumed and expected.

The link to the online version of Lecture in MS Teams: https://tinyurl.com/JEM092lecture

The link to the online version of Seminar in MS Teams: https://tinyurl.com/JEM092seminar

Course completion requirements

English

Last update: PhDr. František Čech, Ph.D. (05.02.2024)

The final mark of up to 100 points consists of:

• Activity during lecture/seminar: 5 points
• Final Exam: 50 (required at least 25 points)
• Home assignments: 45 (required at least 22.5 points)

 Grading scale (p = total points):

• A: p > 90
• B: 80 < p =< 90
• C: 70 < p =< 80
• D: 60 < p =< 70
• E: 50 < p =< 60
• F: p < 50

 

Exam 1: 28.5.2024; 9:30-10:50 (room 109)
Exam 2:   4.6.2024; 9:30-10:50 (room 109)
Exam 3: 18.6.2024; 9:30-10:50 (room 314)

Literature

Last update: PhDr. František Čech, Ph.D. (15.02.2021)

The course closely follows two textbooks:

• Bodie, Z., Kane, A. and Marcus, A. J. (2017) Investments. 11th ed. McGraw-Hill Education.
• Bali, T. G., Engle, R. F. and Murray, S. (2016) Empirical asset pricing: The cross section of stock returns. Wiley-Blackwell.
• Hull, J. C. (2015) Risk Management and Financial Institutions. 4th ed. John Wiley & Sons.

Other recommended textbooks:

• Reilly, F., Brown, K. and Leeds, S. J. (2018) Investment Analysis and Portfolio Management. CENGAGE.
• Cochrane, J. H. (2005): Asset Pricing
• Munk C. (2007): Financial asset pricing theory
• Sharpe, W.S. (2008): Investors and Markets_ Portfolio Choices, Asset Prices, and Investment Advice

 

Syllabus

English

Last update: PhDr. František Čech, Ph.D. (15.02.2021)

SYLLABUS

• WEEK 1: INTRODUCTION
• Introduction & Course information
• Investment Environment
• Asset Classes and Financial Instruments
• Risk, Return, and Historical Record
• BKM 1, 2, 5
• RBL 1,2

• WEEK 2–3: PORTFOLIO THEORY AND PRACTICE
• Capital Allocation to Risky Assets
• Optimal Risky Portfolios
• Index Models
• BKM 6-8
• RBL 6

• WEEK 4-5: EQUILIBRIUM CAPITAL MARKETS
• Capital Asset Pricing Model
• Arbitrage Pricing Theory
• BKM 9, 10, 13
• RBL 7

• WEEK 6-7: EMPIRICAL ASSET PRICING - Preliminaries
• Portfolio Analysis
• Fama and Macbeth Regression Analysis
• BEM 5,6

• WEEK 8-10: EMPIRICAL ASSET PRICING - The Cross-Section of Stock Returns
• Beta
• The Size Effect
• The Value Premium
• The Momentum Effect
• Short-Term Reversal
• Liquidity
• Skewness
• Idiosyncratic Volatility
• BEM 8-15

• WEEK 11: APPLIED PORTFOLIO MANAGEMENT
• Portfolio Performance Evaluation
• BKM 24
• RBL 18

• WEEK 12: VALUE-AT-RISK
• Risk Management; Value-at-Risk; Expected Shortfall
• Coherent Risk Measures; Extreme Value Theory; Back-Testing
• H 12-13