Investment Analysis (Advanced Level)
- 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.
- Knowing the steps of the asset allocation process, understanding the discussion on market efficiency and price predictability, its reasons and consequences.
- 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
- 2021/2022 2nd module0.1 * In-Class Participation + 0.1 * Report/Presentation + 0.4 * Exam + 0.4 * Written Assignment
- Michael Frömmel. (2016). Finance 1: Portfolio Theory and Management. Books on Demand.
- 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