Investment Portfolio (FAP) 220431-D
Wykład (WYK) Semestr letni 2020/21

Risk, return and correlation in the investment portfolio.

Stock portfolio - Markowitz theory, Factor models (CAPM, APT, Sharpe models).

Construction of the stock portfolio, analysis of its efficiency (Jensen ratio, Sharpe ratio, Treynor ratio).

Stock portfolio management (Capital Market Line, Security Characteristic Line, Residual variance)

Systematic and unsystematic risk, Stock valuation with the Dividend Discount Model.

Construction and management 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 nan non-zero credit risk)

The role of ratings in the construction of the investment portfolio.

Alternative risk measures with the example of hedge funds. Lower Partial Moments ratios.

Maximum Drawdown ratios.

Standard options in the investment portfolio.

Exotic options as instruments for the investment portfolio.

Risk concerned with exotic options compared with standard ones.

Hybrid and structured products valuation.

Management of credit porfolio.