Your browser does not support JavaScript, or its support is disabled. Some features may not be available.
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 2017 to 2017
Semester:
summer
E-Credits:
6
Examination process:
summer s.:
Hours per week, examination:
summer s.:2/2, Ex [HT]
Capacity:
59 / 59 (unknown)
Min. number of students:
unlimited
4EU+:
no
Virtual mobility / capacity:
no
State of the course:
taught
Language:
English
Teaching methods:
full-time
Note:
course can be enrolled in outside the study plan
Annotation -
--- Czech English
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
Last update: Čech František, PhDr., 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
Last update: Čech František, PhDr., Ph.D. (31.01.2023)
Course completion requirements -
--- Czech English
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: 27.5.2025; 9:30-11:30 (room 314)Exam 2: 3.6.2025; 9:30-11:30 (room 314)Exam 3: 17.6.2025; 9:30-11:30 (room 314)
Last update: Čech František, PhDr., Ph.D. (30.01.2025)
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: 27.5.2025; 9:30-11:30 (room 314)Exam 2: 3.6.2025; 9:30-11:30 (room 314)Exam 3: 17.6.2025; 9:30-11:30 (room 314)
Last update: Čech František, PhDr., Ph.D. (30.01.2025)
Literature -
--- Czech English
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
Last update: Čech František, PhDr., 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
Last update: Čech František, PhDr., Ph.D. (15.02.2021)
Syllabus -
--- Czech English
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
Last update: Čech František, PhDr., 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
Last update: Čech František, PhDr., Ph.D. (15.02.2021)
