Portfolio Management


Ár1. ár
ÖnnHaustönn/Fall 2019
Stig námskeiðsÓskilgreint
Tegund námskeiðsValnámskeið
UndanfararEngir undanfarar.
SkipulagEkkert skráð skipulag.
David Skovmand
The purpose of the course is to give students advanced knowledge of systematic and analytical methods of considering and performing investment decisions and the skills and competences to apply this knowledge. The following topics and concepts are covered: Risk and uncertainty in financial returns, financial performance measurement, basic utility theory, portfolio theory, optimal investment and portfolio choice, efficient frontier, models of the expected return (CAPM and APT), pricing and risk management in bond markets and mutual fund investments.
Knowledge: At the end of the course students possess in-depth knowledge of: - Key concepts to describe a key characteristics of single financial assets and portfolios of financial assets, including mean, variances, and covariance and correlation for asset returns - Financial risk measures and basic risk management tools - Models employing discrete and continuous random variables - Portfolio theory and utility theory in relation to optimal portfolio choice Skills:  Students develop skills to: - Estimate mean, variance, covariance, beta and multifactor betas from the historical record of returns - Apply performance measures to investment decisions - Apply measures of financial risk - Characterize the efficient frontier of portfolios - Apply utility theory in relation to optimal portfolio choice - Work with factor models such as CAPM and APT in particular the Fama-French 3-factor model - Apply Excel to solve the problems in particular numerical solution and linear regression Competence:  Students develop their competences to: - Measures and interpret the performance of investment decisions - Manage individually and in investment management teams portfolios of financial assets - Identify, justify and implement decisions to optimize portfolio composition  

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