Title
Portfolio Management
Course ID
ΟΙ0110
Course Description
Semester
8
Period
Spring
Instructor
ΕCTS
5
Κατηγορία
Track course
Track
Financial Engineering
Category
Elective course (track)
Track
Management Engineering
Description
This course is about the theory and practice of portfolio selection and risk management. Students are exposed to modern approaches to the calculation of the expected yield and risk of different types of financial securities (stocks, bonds, etc) as well as various methods for deriving an efficient capital allocation depending on the investor’s targets and constraints.
Class schedule
Fixed-income portfolio management: interest rate theory, pricing of bonds and treasury bills, duration and modified duration, convexity, portfolio immunization, term structure of interest rates, yield spread, credit rating of bond issuers.
Managing portfolio of uncertain payoffs: measures of return and risk, mean-variance analysis, the Markowitz model, efficient frontier, capital asset pricing model (CAPM), systematic and idiosyncratic risk, single-/ multi-index models, arbitrage pricing theory (APT)
Evaluating portfolio performance: Sharpe /Treynor’s ratio, Jensen’s Alpha, alternative metrics of profitability and risk (Sortino ratio, VaR, CVaR).
Portfolio management in practice: estimating the parameters of CAPM and APT model, implementing a portfolio management strategy in an imperfect market environment (rebalancing of positions, transaction costs, bid-ask spread), active and passive management.
Managing portfolio of uncertain payoffs: measures of return and risk, mean-variance analysis, the Markowitz model, efficient frontier, capital asset pricing model (CAPM), systematic and idiosyncratic risk, single-/ multi-index models, arbitrage pricing theory (APT)
Evaluating portfolio performance: Sharpe /Treynor’s ratio, Jensen’s Alpha, alternative metrics of profitability and risk (Sortino ratio, VaR, CVaR).
Portfolio management in practice: estimating the parameters of CAPM and APT model, implementing a portfolio management strategy in an imperfect market environment (rebalancing of positions, transaction costs, bid-ask spread), active and passive management.
Assessment methods
- Final exam (in Greek) with Multiple Choice Questions and Problem Solving (weighting 40%)
- Laboratory Work (in Greek) (weighting 60%)
Laboratory reports are taken into account in the final grade as long as the student gets at least 50% in the final exam.
Recommended Reading
- Vasileiou D., Iriotis Ν. (2018) Investment Analysis and Portfolio Management, Rosili Publications. (in greek)
- Edwin J. Elton, Martin J. Gruber, Stephen J. Brown, William N. Goetzmann (2016) Modern Portfolio Management and Investment Analysis, Utopia Publications.* (greek translation)
- Luenberger, D.G. (1998), Investment Science, Oxford University Press.
- Papaioannou, Δ. (2002), Introduction to financial markets. (in greek)
Notes
Lecture notes and computer exercises are available through eclass
Examinable content
Announced through eclass
Useful Links