Investment and Portfolio Management 2600-ERSM1IPM

1. Introduction to investing theory. Goals and restrictions of investors.
- Definition and characteristics of financial investments
- Classification of financial assets
- Determinants of financial investments
- Securities and markets.

2 Criteria for investment decisions.
- Returns classification (nominal, real, risk free rate, risk premium)
- The concept of expected rate of return
- Return on investment distribution (normal distribution characteristics - kurtosis, skewness), Value-at-Risk
- Investment risk types and risk measures (variance, standard deviation)
- Risk diversification - classification (covariance and correlation rates of return).

3. Debt portfolio management.
- Classification and structure of interest rates (structure of immediate interest rates, term structure of interest rates)
- Theories regarding interest rate shaping (liquidity preferences, segmentation, expectations)
- Debt instrument features (price, profitability)
- Bond valuation model
- Bond sensitivity analysis to interest rate changes.
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4. Equity portfolio management.
- Types and features of equity instruments
- Systematic and unsystematic risk
- Beta coefficient
- Asset valuation models (Sharpe, Markowitz, CAPM single indicator model, CML capital market line and SML stock market line)
- The concept of capital market efficiency
- Assumptions and basics of technical and fundamental analysis, stock market indicators.
5. Traditional measures of financial investment effectiveness.
- Benchmark concept, tracking error
- Performance indicators (Sharp, Sortino, Jensen, Treynor).
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6. Portfolio Management
- Active vs Passive
- Private wealth management
7. Investment risk management using derivatives contracts.
- Forward / futures contracts characteristics
- Use of futures contracts to hedge risk.
- Use of swap contracts to hedge risk.
- Characteristics and use of options
- Withdrawal functions, rights and obligations of transaction parties.