Advanced Topics in Financial Management
| Code | Completion | Credits | Range | Language |
|---|---|---|---|---|
| 32ME-K-ADFM-01 | Z,ZK | 3 | 10B | English |
- Course guarantor:
- Helmuth Yesid Arias Gomez
- Lecturer:
- Helmuth Yesid Arias Gomez
- Tutor:
- Helmuth Yesid Arias Gomez
- Supervisor:
- Institute of Economic Studies
- Synopsis:
-
During the course will be studied the strategies for recognizing the market performance of firms, whose information is mirrored in the pricing of equities as the signals for investors and funds. Regarding the fixed income, the analysis will be based on the bond, the yield, and the price.
The course aims at overhaul the path research of the portfolio theory and at recognize the main financial models intended to manage the assets. The exercises and theoretical perspective deal with a diversity of strategies developed for assigning a portfolio of investment, combining assets of different degrees of risk, underpinning the position with the diversification principle. The overview starts with the pioneering Markowitz contribution, the mean-variance approach, and the involvement of the free-risk asset.
Some cases are reviewed involving the risk parity approach, short positions, and the leverage on cash. The role of the free asset market, the free risk rate, and the short positions in cash introduce the elements to understand the Sharpe's CAPM model and the market line.
Previously, the student must be aware of all statistical concepts dealing with uncertainty, probability distributions, confidence intervals, and probability of default.
Minimal training in excel is required, specifically the application of solver tool, the goal search and the excel's „what if“ menu.
- Requirements:
- Syllabus of lectures:
- Syllabus of tutorials:
- Study Objective:
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The course provides with an intuitive introduction to the main tools in risk analysis. Keeping up the evolving trajectory of the financial analysis the course teaches a modern approach to the risk measurement of a financial position, and the portfolio allocation , through statistical techniques that allow to describe the profit and loss and the distribution of the firm’s portfolio over some predetermined horizon.
By the end of the course, students will be able to understand the structure, operation, and behavior of financial markets and the utilization of various financial instruments, including financial derivatives. Likewise, the student must develop skills in the use of Excel tools and the financial formulas and functions incorporated into the Excel package. The student must be able to interpret the outputs and make wise financial decisions in the context of Markets.
- Study materials:
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Mandatory:
Poncet, Patrice, Portait, Roland (2022). Capital Market Finance: An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk. Springer Textbook.
Shuangzhe Liu & Milind Sathye (2021). Financial Statistics and Data Analytics. MDPI. Basel.
Benninga Simon and Mofkadi Tal (2022). Financial Modeling, fifth edition Edition. MIT Press.
Benninga Simon and Mofkadi Tal (2018). Principles of Finance with Excel. Oxforfd University Press.
WEN, Zhijian. Theoretical Analysis of Modern Portfolio Theory (2023). BCP Business & Management, roč. 47, s. 99–104. ISSN 2692-6156. DOI: 10.54691/bcpbm.v47i.5177
YU, Jingchen a Juntai ZHANG. (2023) A Comprehensive Analysis of The Modern Portfolio Theory. BCP Business & Management. roč. 38, s. 2111–2114. ISSN 2692-6156. DOI: 10.54691/bcpbm.v38i.4046
Shuangzhe Liu & Milind Sathye (2021). Financial Statistics and Data Analytics. MDPI. Basel.
Harvey Campbell, Rattray Sandy, & Van Hemert Otto (2021). Wiley; 1st edition
Lukomnik Jon & Hawley James (2021) Moving Beyond Modern Portfolio Theory. Routledge; 1st edition
Bastick Liam (2020) Introduction To Financial Modelling. Holy Macro Books. 1st edition
Isichenko Michael (2021) Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage Wiley; 1er edition
Merton, Robert & Thaler, Richard (2021). No-fault Default, Chapter 11 Bankruptcy, and Financial Institutions. Working Paper 28341, NBER.
Ballotta Laura & Fusai Gianluca (2017) A Gentle Introduction to Value at Risk. Technical Report · April 2017
Benninga Simon and Mofkadi Tal (2018). Principles of Finance with Excel. Oxforfd University Press.
Benninga Simon and Mofkadi Tal (2022). Financial Modeling, fifth edition. MIT Press
Bernhard Pfaff (2016) Financial Risk Modelling and Portfolio
Optimization with R. John Wiley & Sons, Ltd
Rasmussen, M. (2003) Quantitative Portfolio Optimisation, Asset Allocation and Risk Management: A Practical Guide to Implementing Quantitative Investment Theory. Palgrave Macmillan
Hollstein, Fabian and Prokopsuk, Marcel (2016). Estimating Beta. The Journal of Financial and Quantitative Analysis. Vol. 51, No. 4 (August), pp. 1437-1466
- Note:
- Time-table for winter semester 2024/2025:
-
06:00–08:0008:00–10:0010:00–12:0012:00–14:0014:00–16:0016:00–18:0018:00–20:0020:00–22:0022:00–24:00
Mon Tue Wed Thu Fri Sat - Time-table for summer semester 2024/2025:
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06:00–08:0008:00–10:0010:00–12:0012:00–14:0014:00–16:0016:00–18:0018:00–20:0020:00–22:0022:00–24:00
Mon Tue Wed Thu Fri Sat - The course is a part of the following study plans: