Investment Portfolio (FAP)

Classification of financial investments. Methods of construction and modeling securities' portfolio and credit portfolio. Prerequisites of choosing assets to complete the portfolio in order to optimize relation between expected profitability and risk. Asset management and valuation. Assessment of investment portfolio performance (effectiveness).

The aims of the subject correspond to acquainting the participants with:

1. Range if assets and off-balance sheet instruments can be taken into consideration in the investment process.

2. Methods of profitability quantification in terms of single financial instruments as well as investment portfolios.

3. Principles of investment portfolio diversification,

4. Some investment strategies,

5. Methods of investment portfolio creation.

Literatura podstawowa:

Haugen R.A., Modern Investment Theory, Pearson 2001;

Pruchnicka-Grabias I. , Maximum drawdown measures in hedge fund efficiency appraisal, The Quarterly e-Finanse, vol. 12, nr 4/2016, s. 83 - 91, DOI 10.1515/fi qf-2016-0010K;

Pruchnicka-Grabias I., Lower partial moments and maximum drawdown measures in hedge fund risk-return profile analysis, Universal Journal of Mathematics and Mathematical Sciences, Vol. 9, No. 1-2, 2016, p. 43 - 59, ISSN: 2277 ? 1417.

Pruchnicka-Grabias I. , Equity portfolio diversification with gold, Problems of management, Vol. 18, No. 4(90), 2020, s. 62-77.

Literatura uzupełniająca:

Z. Body, A. Kane, A. J. Marcus, Investments, McGraw-Hill, sixth edition, 2005;

J. Pickford (ed.), Mastering Investment, Prentice Hall FT, 2002;

I. Pruchnicka-Grabias, Corporate financial risk management, Szkoła Główna Handlowa w Warszawie, Warszawa 2015, ISBN 978-83-65416-60-5.

Wiedza:

Student knows the spectrum of available potential elements of investment portfolio.

Student acquires knowledge enabling analyzing, comparing and choice of defined investment solutions.

Student is acquainted with basic investment strategies and prerequisites of their implementation.

Student has knowledge necessary to assess effectiveness of investment in terms of single instruments as well as investment portfolios.

Umiejętności:

Student should be able to describe the current investment environment.

Student should be able to obtain and interpret investment information from various sources.

Student is capable to calculate profitability and risk of investment as well as make valuation of defined financial instruments.

Student is acquainted with methods of hedging of investment portfolio.

Kompetencje społeczne:

Student becomes familiar with various conditions, problems and limitations of investment process.

Student is made aware of the fact that investment management requires interdisciplinary knowledge, which is the necessary condition for solving problems.

egzamin tradycyjny-pisemny: 70.00%

inne: 30.00%