Investment Portfolio Management

2024/2025

Academic Year

ENG

Instruction in English

3

ECTS credits

Delivered at:

Department of Finance

Course type:

Elective course

When:

2 year, 1 module

Instructor

Churakova, Iya

Course Syllabus

Abstract

The course deals with the asset allocation process and focuses on questions concerning the price predictability on financial markets. Prerequisites: "Basic finance: asset classes", "Factor models", "Basic econometrics"

Learning Objectives

• The purposes of the course "Investment Analysis (advanced level)" are the following: 1. To give the masters the conceptual foundations of investment analysis, basic principles and ideas about evaluating the effectiveness of commercial investments; 2. To form a system of theoretical and practical knowledge and skills in the field of business valuation. The objectives of the discipline are: 1. To study theoretical and practical foundations of investment assessment of a business; 2. To develop methods and technologies for investment analysis in theory and practice; 3. To master the skills of analysis of investment efficiency and business value based on the assessment of capital investments made; 4. To master the practice of econometric calculations necessary for analysis investment efficiency and business valuation; 5. To analyse of existing and the creation of new directions for the development of entrepreneurial activities based on analysis of investment performance and business valuation.

Expected Learning Outcomes

• Knowing the steps of the asset allocation process, understanding the discussion on market efficiency and price predictability, its reasons and consequences.

Course Contents

• The asset allocation process
• Strategic asset allocation: mean variance optimization revisited
• Technical analysis: is it profitable?
• Tactical asset allocation: can professionals time the market?
• Price anomalies, especially price momentum
• Behavioural finance I: Limits to arbitrage
• Behavioural finance II: Noise traders and their impact
• Cognitive biases, prospect theory, adaptive market hypothesis
• Cointegration (methodology) and bubbles
• Market microstructure and price predictability

Assessment Elements

• Written Assignment
  This is 60 minutes in-class team work
• Project
  This is the home prepared group (2 students) report on a specified topic.
• Exam
  This assignment should be done individually. You will have 80 minutes to complete the Final Exam. Turning it in earlier is allowed, too late (more than 10 minutes of delay) means a zero grade for the Final Exam.
• Participation & Activity
  Tests and easy in-class tasks

Interim Assessment

• 2024/2025 1st module
  0.4 * Exam + 0.1 * Participation & Activity + 0.3 * Project + 0.2 * Written Assignment

Bibliography

Recommended Core Bibliography

• Michael Frömmel. (2016). Finance 1: Portfolio Theory and Management. Books on Demand.

Recommended Additional Bibliography

• DeFusco, R. A., McLeavey, D. W., Pinto, J. E., & Runkle, D. E. (2015). Quantitative Investment Analysis (Vol. Third edition). Hoboken, New Jersey: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1082450

Authors

• NAZAROVA VARVARA VADIMOVNA
• CHURAKOVA Iiia Iurevna
• SOLOVEVA EKATERINA EVGENEVNA