Financial investments 2600-MSFRz1IF
Lecture
1. Introduction to investment theory. Investor goals and limitations.
- Definition and features of financial investments
- Classification of financial assets
- Conditions of financial investments
- Securities and markets
2. Criteria for investment decisions.
- Classification of rates of return (nominal, real, risk-free rate, risk premium)
- The concept of expected rate of return
- Distribution of investment return rates (characteristics of normal distribution - kurtosis, skewness), Value-at-Risk
- Types of investment risk and risk measures (variance, standard deviation)
- Risk diversification - classification (covariance and correlation coefficients of returns)
3. Investments in debt instruments.
- Classification and structure of interest rates (spot interest rate structure, term structure of interest rates)
- Theories on shaping interest rates (liquidity preferences, segmentation, expectations)
- Features of the debt instrument (price, profitability)
- Bond pricing model
- Analysis of the sensitivity of bonds to changes in interest rates
4. Investments in equity instruments.
- Types and features of equity instruments
- Systematic and unsystematic risk
- Beta coefficient
- Asset pricing models (Sharpe, Markowitz, CAPM single-index model, CML capital market line and SML securities market line, efficient frontier)
- The concept of capital market efficiency
- Assumptions and basics of technical and fundamental analysis, stock market indicators.
5. Traditional and avant-garde measures of financial investment effectiveness.
- The concept of benchmark, tracking error
- Performance indicators (Sharpa, Sortino, Jensen, Treynor)
6. Investment risk management using futures contracts.
- Forward/futures contracts characteristics
- Futures contract valuation model
- The use of futures contracts to hedge risk
7. Analysis and application of swaps and options.
- Interest rate swap
- Currency swap
- Characteristics and application of options
- Payout functions, rights and obligations of the parties to the transaction
Exercises
1. Tasks related to making investment decisions, including:
- Classification of rates of return (nominal, real, risk-free rate, risk premium)
- The concept of expected rate of return
- Distribution of investment return rates (characteristics of normal distribution - kurtosis, skewness), Value-at-Risk
- Types of investment risk and risk measures (variance, standard deviation)
- Risk diversification - classification (covariance and correlation coefficients of returns)
2. Examples of debt investments, including:
- Features of the debt instrument (price, profitability)
- Bond pricing model
- Analysis of the sensitivity of bonds to changes in interest rates
3. Examples of equity investments, including:
- Beta coefficient
- Asset pricing models (Sharpe, Markowitz, CAPM single-index model, CML capital market line and SML securities market line, efficient frontier)
- Assumptions and basics of technical and fundamental analysis, stock market indicators.
4. Calculation of the financial investment efficiency measure, including:
- The concept of benchmark, tracking error
- Performance indicators (Sharpa, Sortino, Jensen, Treynor)
5. Investment risk management using futures contracts.
- Forward/futures contracts characteristics
- Futures contract valuation model
- The use of futures contracts to hedge risk
6. Analysis and application of swaps and options.
- Interest rate swap
- Currency swap
- Characteristics and application of options
- Payout functions, rights and obligations of the parties to the transaction
Course coordinators
Type of course
Mode
Learning outcomes
Student after completing the course:
In terms of knowledge:
Knows and understands in-depth research methodology and terminology in the field of management and quality science and in complementary disciplines (economics and finance, legal sciences), in particular in the area of financial management and accounting (K_W01)
Knows and understands in-depth the principles, procedures and practices regarding financial management in organizations, accounting, management of financial institutions and strategies of financial institutions (K_W02)
Knows and understands in-depth economic theories and models regarding the functioning of organizations and the entire economy (K_W03)
Knows and understands in-depth legal regulations regarding the functioning of the organization and the entire economy (K_W04)
Knows and understands complex technological, social, political, legal, economic and ecological processes and phenomena and their impact on financial decisions in organizations, the functioning of the organization and the entire economy, including the principles of protection of industrial property and copyright (K_W05)
Knows and understands the principles of creating and developing various forms of entrepreneurship in the national and global dimensions (K_W06)
In terms of skills:
Is able to use the theory of the discipline of management and quality science and complementary sciences (economics and finance, legal sciences) to recognize, diagnose and solve problems related to financial decisions in organizations and management of financial institutions, using the appropriate selection of sources and adapting existing or developing new methods ( K_U01)
Is able to correctly interpret complex technological, social, political, legal, economic and ecological processes and phenomena and their impact on financial decisions in organizations, the functioning of the organization and the entire economy, using the appropriate selection of sources (K_U02)
Is able to independently and collectively prepare analyses, diagnoses and reports on complex and unusual problems related to financial management in organizations, accounting, management of financial institutions and strategies of financial institutions, and present them communicatively, also in English - using IT and communication tools (K_U03)
In terms of attitudes:
Is ready to assess and critically approach complex situations and phenomena related to financial management in organizations, accounting, management of financial institutions and strategists of financial institutions (K_K01)
Is ready to think and act in an entrepreneurial way in the national and global dimensions (K_K02)
Is ready to comply with and develop professional ethical standards (K_K02).
Assessment criteria
written exam (open and closed questions)
Written exam in stationary or remote form on the eNauka platform
Completing the exercises remotely on the eNauka platform.
colloquium 80%, 20% activity during classes (exercises, case studies), additional project (group work), attendance at classes.
Bibliography
Basic item:
Francis J.C. Inwestycje. Analiza i zarządzanie, WIG Press 2000
Additional items:
Haugen R. A., Teoria nowoczesnego inwestowania, WIG PRESS 1996
Jajuga K., Jajuga T., Inwestycje, Wydawnictwo Naukowe PWN, Warszawa 2010
Sopoćko A., Rynkowe instrumenty finansowe, Wydawnictwo Naukowe PWN, Warszawa 2010 Bodie, Kane, Marcus 2018, Essential of Investments, Mc Grow Hill Education