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Principles of creation of the investment portfolio. Return and correlation. Efficient markets. Types of efficieny. Markovitz bullet. Portfolio analysis and causes of making mistakes in this process.
Stock portfolio - Markowitz theory, factor models (CAPM, APT, Sharpe models). Correctness of APT Theory with the CAPM model. Assumptions and their limitations. Efficient line with short sale and without short sale.
Construction of the stock portfolio, analysis of its efficiency (Jensen ratio, Sharpe ratio, Treynor ratio). Efficient and inefficient portfolios. The role of the commission in the portfolio efficiency.
Stock portfolio creation (Capital Market Line, Security Characteristic Line, Residual variance, Total variance). Beta coefficient.
Stock valuation with the Dividend Discount Model. Discounted dividend model with steady dividends. Discounted dividend model with dividends changed. Gordon-Shapiro model. Dividend role in investments and its influence on speculation.
Construction strategies of bonds' portfolio (inter alia immunization by use of duration and convexity). Bonds valuation (fixed coupon, variable coupon, zero-coupon, treasury bills, bonds with zero and non-zero credit risk). Yield to maturity. Bond portfolio immunization with Maculay duration. IRR of the bond portfolio.
Fundamentals of treasury and corporate bonds. High yield corporate bonds. Convertible bonds default risk. Using and interpreting the yield curve. Asset-backed bonds in the securitization process.
The role of ratings given by rating agencies in the construction of the investment portfolio. Portfolio value calculation with considering ratings and without them ? similarities and differencies.
Lower Partial Moments ratios. Omega ratio. Sortino ratio. Kappa ratio. Calculations, applications in the portfolio creation.
Maximum Drawdown ratios. Calmar ratio. Burke ratio. Sterling ratio. Applications in the investment portfolio. Calculations, and usage in the portfolio theory.
The role of classical options in the investment portfolio. Strategies for volatility speculation. Efficiency assessment. Portfolio value simulation with MC method.
Non-standard options as instruments in the investment portfolio construction. Portfolio value assessment. Portfolio optimization techniques. Problems concerned with non-standard derivatives applied in investment portfolio construction compared with vanilla ones. Parameters influencing the portfolio value.
Hybrid products as a part of the investment portfolio and methods of such portfolio value calculations. Analytical models for value assessment. Simulation methods.
Efficiency of the credit portfolio. Valuation models. Credit risk+. CreditMetrics. KMV. Distribution of values for the portfolio having more than two obligations.
The idea of credit derivatives and their role in the investment portfolio. Analytical formulas for valuation. The idea of CDS. CDS risk premiums and their role in the market. TRS. Credit basket swap. Structures based on the recovery rate. CDO. CLN. Credit swaptions. Short position in the first-to-default swap. Credit spread options. Credit linked structured notes. Repackaged credit notes. Synthetic bonds.
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