Portfolio Management

Code:

2FI12

Acronym:

PM

Keywords
Classification	Keyword
OFICIAL	Management Studies

Instance: 2017/2018 - 2S

Active?	Yes
Responsible unit:	Management
Course/CS Responsible:	Master in Finance

Cycles of Study/Courses

Acronym	No. of Students	Study Plan	Curricular Years	Credits UCN	Credits ECTS	Contact hours	Total Time
MIF	41	Bologna Official Syllabus	1	-	4	28	108

Teaching language

English

Objectives

The objective of the course is to study the theory and empirical evidence relevant for investing, particularly in the context of portfolio management.  The major topics will include: the investment management process,asset allocation decisions in a mean-variance framework and other, active and passive investment strategies, performance measurement and attribution and ethics in investments.

Students will also deal with asset management allocation tools and practices in quasi-real settings, integrating the knowlegde acquired in other courses (Financial Theory and Financial Markets).

Learning outcomes and competences

After this course, the student should be able to (1) understand and interpret major  portfolio management and risk concepts, (2) construct basic portfolio and asset pricing models and (3) calculate portfolio performance measures and apply attribution analysis of the portfolio performance.

Working method

Presencial

Pre-requirements (prior knowledge) and co-requirements (common knowledge)

Financial Markets and Asset Pricing Models.
Excel.

Program

1. Introduction to Portfolio Management

1.1. Portfolio Management Process

1.2. Institutional context



2. Portfolio Theory

2.1. Investments characteristics: Return and Risk

2.2. Preferences, Risk aversion and capital allocation to risky assets

2.3. Optimal risk portfolios: Mean-variance

2.4 Portfolio formation alternatives to mean-variance





3. Asset Pricing Models and Portfolio Management

3.1. Sharpe Model

3.2. Multifactor Models



4. Portfolio Strategies

4.1 Assumptions and Evidence

4.2. Passive Management: Indexing; Tracking Error

4.2. Active Management: Treynor-Black e Black-Litterman;

Market Timing; and Style Management

5. Performance Measurement and Attribution



6. Ethics in Portfolio Management

Mandatory literature

Bodie, Zvi, Alex Kane and Alan J. Marcus; Investments, McGraw Hill, 2013

Complementary Bibliography

Elton, Edwin J., Marin J. Gruber, Stephen J. Brown and William N. Goetzmann; Modern Portfolio Theory and Investment Analysis, International Edition, Wiley, 2011

Teaching methods and learning activities

The class will be a mixture of lecture and discussion. Theories, practices, and real-world examples will be examined and analyzed in class.

keywords

Social sciences > Economics > Financial science

Evaluation Type

Distributed evaluation without final exam

Assessment Components

Designation	Weight (%)
Exame	50,00
Participação presencial	10,00
Trabalho escrito	40,00
Total:	100,00

Amount of time allocated to each course unit

Designation	Time (hours)
Apresentação/discussão de um trabalho científico
Elaboração de projeto
Estudo autónomo
Trabalho de investigação
Trabalho escrito
Total:	0,00

Eligibility for exams

Required a positive grade (10 out of 20) in final exam.

Calculation formula of final grade

Distributed evaluation with final exam.

The final grade will be the weighted average of the grades for the three components: group project with oral presentation (40%), final exam (50%) and participation in class with report (10%).

The group project is due one week after the last class.

The students are required to have done the group project in order to have access to the final exam (article 9, n. 1, a) of the grading rules).