Portfolio Management Theory

Transcripción

1 Portfolio Management Theory MÁSTER UNIVERSITARIO EN BANCA Y FINANZAS (Finance & Banking) Universidad de Alcalá Curso Académico 2015/16

2 GUÍA DOCENTE Nombre de la asignatura: Portfolio Management Theory Código: Titulación en la que se imparte: MÁSTER UNIVERSITARIO EN BANCA Y FINANZAS (Finance & Banking) Departamento y Área de Conocimiento: Departamento de Economía y Dirección de Empresas Carácter: Presencial Créditos ECTS: 4,5 Curso y cuatrimestre: 1º Profesorado: Dr. Eliseo Navarro Arribas Catedrático de Universidad UAH Horario de Tutoría: Idioma en el que se imparte: 16:30 17:30 h Inglés 1. PRESENTACIÓN Portfolio Management has been considered one of the main areas of Finance for both academics and practitioners. The Portfolio Management subject studies anything that is related with building a portfolio of assets (stocks, derivatives, or bonds, or even real estate) with the goal of maximizing the expected returns and minimizing the risk. The first model was developed by Harry Markowitz during the fifties and it is called Modern or the Mean-Variance Model because it affirms that investors should be concerned by only the mean and the variance of their portfolios. Following this model during sixties some authors presented the first asset pricing model (Sharpe, 1964) named as Capital Asset Pricing Model (CAPM) and it can be considered as one of the main contributions to modern finance. Although it is a theoretic model it has been used a lot in real financial markets and in companies. According to the fundamental equation of this model, the expected return of any asset will be a function of its systematic risk (which we can measure by the beta). We can define an investment company as a financial intermediary that collect funds from individual investors and invests those funds in a potential range of assets. As we will present, we can distinguish between several types of investment companies: open-end funds, closed-end funds, ETF s, etc. During the last two decades 2

3 investment companies (especially those with mutual funds) have experienced a huge growth both in number and in size all over the world. There are different topics that must be analyzed or studied on investment companies, but the most relevant is the evaluation. We will present the main performance measures (Sharpe Ratio, Jensen s alpha, etc.) and analyze their advantages and disadvantages. Prerrequisitos y Recomendaciones (si es pertinente) 2. COMPETENCIAS Competencias genéricas: 1. Mean-variance portfolio theory, risk measurement, and benefits of portfolio diversification between different types of assets 2. The Capital Asset Pricing Model 3. Several approaches to measuring mutual fund performance (the Sharpe Ratio, as well as the Morningstar star system for rating mutual funds, and the Jensen s alpha) 4. How the hedge funds industry works Competencias específicas: 1. Moreover, students will acquire skills to solve practical problems in Portfolio Management and in evaluation and selection of mutual funds and hedge funds. These skills will be achieved by the development of particular cases and practical exercises completed during the classes. 3. CONTENIDOS Bloques de contenido (se pueden especificar los temas si se considera necesario) Asset Pricing Model Total de clases, créditos u horas 3

4 Asset Pricing Model Investment Companies and Hedge Funds Investment Companies and Hedge Funds Cronograma (Optativo) Semana / Sesión 01ª and 02ª 03ª 04ª 05ª and 06ª 07ª 08ª Contenido - Chapters 6, 7 and 8 from Investment book or Chapters 5 and 6 from Essentials of Investment book - Class notes (provided) - Partners Healthcare Case from Harvard Business School - Intermediate Test - Euronova Case - Presentation of Euronova Case answers - Portfolio Papers Presentations Asset Pricing Model - Class notes (provided) - Chapters 9 and 10 from Investment book or Chapter 7 from Essentials of Investment book - Practice: Optimizing a Portfolio from Betas Case Investment Companies and Hedge Funds - Class notes (provided) - Chapters 4 and 24 from Investment book or Chapters 4 and 17 from Essentials of Investment book. - Evalua-Funds Case Investment Companies and Hedge Funds - Presentations of Evalua-Funds Case - IC Papers Presentations 4

5 4. METODOLOGÍAS DE ENSEÑANZA-APRENDIZAJE.-ACTIVIDADES FORMATIVAS 4.1. Distribución de créditos (especificar en horas) Número de horas presenciales: 36 Número de horas del trabajo propio del estudiante: 76 Total horas Estrategias metodológicas, materiales y recursos didácticos The methodology used in this subject will be diverse. Generally, in the first part of the session the Professor will introduce the basic points of the theory. In a second part, the students will solve some short problems or multiple choice quizzes. In the last part the students will present the solution to a given case. Computers will be needed in the second and third parts of the sessions. It is very important that students have a calculator. 5. EVALUACIÓN: Procedimientos, criterios de evaluación y de calificación 1 1. Attendance: 5% 2. Participation: Study cases, presentations, assignments, analysis. a. Presentations papers: 10%. b. Cases: 40% 3. Objective Test: 20% 4. Final Exam: 25%. Attendance 1 Es importante señalar los procedimientos de evaluación: por ejemplo evaluación continua, final, autoevaluación, co-evaluación. Instrumentos y evidencias: trabajos, actividades. Criterios o indicadores que se van a valorar en relación a las competencias: dominio de conocimientos conceptuales, aplicación, transferencia conocimientos. Para el sistema de calificación hay que recordar la Normativa del Consejo de Gobierno del 16 de Julio de 2009: la calificación de la evaluación continua representará, al menos, el 60%. Se puede elevar este % en la guía. 5

6 Essential. All absences must be notified. Only justified absences will be considered. Reasons for absence must be duly documented as all absences regarding health etc. must be authorised by the Professor so that the coordinator can account for the absence with an authorised report from the Professor. Non-justified absence during one session will result in the loss of 0.2 points out of 0.5. Non-justified absence during two sessions will result in the loss of 0.4 points out of 0.5. Non-justified absence during three or four sessions will result in the loss of 0.5 points out of BIBLIOGRAFÍA Bibliografía Básica Bodie, Z. and Kane, A. Essentials of Investments, McGraw Hill (6th Edition) or/and Bodie, Z.; Kane, A. and Marcus, A. Investments, McGraw Hill (6th Edition). Bibliografía Complementaria (optativo) Brealey, R. A. y Myers, S. C. (1993): "Principles of Corporate Finance". McGraw Hill. (7th Edition) 6