Бакалавриат
2025/2026
Управление инвестиционным портфелем
Статус:
Курс по выбору (Международная программа по экономике и финансам)
Кто читает:
Международный институт экономики и финансов
Когда читается:
4-й курс, 1-4 модуль
Охват аудитории:
для своего кампуса
Язык:
английский
Course Syllabus
Abstract
Pre-requisites: Microeconomics, basic calculus and probability theory, linear algebra, Principles of banking and finance. Investment Management is a year-long course for 4th year students at ICEF. The course is taught in English.
Learning Objectives
- provide an overview of institutional details linked to financial markets and the trading process
- provide an overview of historical trends and innovations in financial instruments and trading processes
- provide an overview of various financial instruments
- provide insight into the use of finance theory in investment management
- provide a guide to the measurement and analysis of risk of financial investments
- provide a guide to the measurement of performance of fund management
- address key issues in risk management
Expected Learning Outcomes
- Able to solve professional problems based on synthesis and analysis
- provide an overview of institutional details linked to financial markets and the trading process, define market microstructure and evaluate its importance to investors
- evaluate the investment attractiveness of the main financial assets to be included in the investment portfolio using quantitative and/or qualitative methods and considering their (methods) limitations
- сalculate and interpret the value and returns of security market indexes, discuss how they are used in investment management industry
- provide insight into the use of finance theory in investment management
- apply the principles of portfolio planning and construction to develop an investment policy statement depending on the type of investor and his individual characteristics
- develop investment strategies for portfolio management, taking into account regulatory aspects, risk budgeting, and other restrictions, identify investment opportunities globally
- calculate and interpret the main indicators for evaluating the effectiveness of portfolio management and analyzing the results obtained in comparison with the selected benchmark
- implement the risk management techniques
- analyze and interpret domestic and foreign statistics, economic and financial market indicators relevant for making investment decisions, identify global trends
- provide a critical view on the financial markets’ evolution process, recent fintech innovations & trends
- refer to sources of information, collect initial data, systematize information and present information in a visual form
- Perform the empirical methods used to test the Capital Asset Pricing Model (CAPM).
- Evaluate empirical evidence on multifactor models
- Select the financial classes and instruments suitable for a particular investment strategy
- Be able to follow the key steps in the Investment Management Process
- Evaluate the benefits and challenges of international investment and diversification.
- Apply the key theories and mechanisms that drive international exchange rates and FX markets.
- Apply and critically evaluate parity conditions and related models to analyze exchange rate behaviors and arbitrage opportunities.
- Assess recent financial innovations and the role of Fintech in transforming investment and wealth management.
- Analyze how AI and Big Data are applied in investment management to enhance decision-making and operational efficiency.
- Identify key investor biases and behavioral theories that influence financial market outcomes and contribute to anomalies.
- Assess the implications of limits to arbitrage and performance-based arbitrage on market efficiency and asset mispricings.
- Evaluate the significance of investment anomalies and their impact on market efficiency and asset pricing models.
- Apply statistical techniques to identify, analyze, and interpret various investment anomalies in financial data.
- Analyze the different forms of the Efficient Markets Hypothesis (EMH) and evaluate empirical evidence supporting or challenging each.
- Apply statistical methods, such as event studies, to test market efficiency and interpret the implications for investment strategies and market behavior.
- Assess the role of portfolio management in personal and institutional finance, considering key challenges such as market volatility, regulatory and geopolitical issues, and emerging investment opportunities.
- Utilize statistical methods to analyze and evaluate the risk and return profiles of individual securities and investment portfolios.
- Analyze various approaches to estimating Value at Risk (VaR) and examine their advantages and limitations, including extensions such as Conditional VaR (CVaR), Incremental VaR (IVaR), and Relative VaR.
- Apply risk management techniques, including the use of constraints, sensitivity measures, scenario analyses, and hedging strategies, to manage extreme risks and allocate risk capital effectively.
- Examine different types of risk, methods of risk decomposition, and various risk-adjusted performance measures, including early techniques and composite portfolio performance evaluation.
- Assess factors influencing the application of performance measures, evaluate bond portfolio performance, and analyze performance measurement methods in dynamic portfolios involving market timing.
- Explain bond mathematics, the term structure of interest rates, yield to maturity, and duration; evaluate bond portfolio performance, style, and strategic approaches.
- Analyze bond portfolio management strategies—including passive, active, core-plus, matched-funding, contingent, and structured management—and examine techniques such as immunization and interest rate swaps.
- Compare active and passive investment strategies, assess the role of equities in a portfolio, and evaluate approaches to passive equity investing, including benchmark selection and tracking error management.
- Analyze techniques for immunizing equity portfolios, transforming diversified portfolios into arbitrage portfolios, and constructing active equity portfolios using various management strategies and building blocks.
- Assess the application of economic analysis in investment decision-making, including business cycle phases, sector rotation, and the interpretation of key economic indicators such as GDP, labor markets, and production variables.
- Examine macroeconomic influences on capital markets by analyzing financial market indicators, interpreting central bank interest rate decisions, yield curves, market volatility, and commodity prices to inform investment strategies.
Course Contents
- Introduction to the course. The investment setting & issues. Revision of key formulars (statistical prerequisites)
- Modern Portfolio Theory and Capital Asset Pricing Model (CAPM)
- CAPM: Empirical Tests
- Multi-factor models
- Market efficiency
- Investment anomalies
- Behavioural finance
- Evolution of Financial Markets & Instruments
- Advanced Perspectives on Asset Classes and Financial Instruments
- The Investment Management Process
- Economic and Market Analysis for Investment
- Equity Portfolio Management
- Managing Bond Portfolios
- Risk and Performance Measurement
- Risk Management
- International finance
- International asset allocation
Assessment Elements
- 1st semester written assessment (covering the topics of the 1-2 modules)
- Homework Assignments (1-4 modules)
- Class assignments & quizzes, attendance, activity & participation (1-4 modules)
- Final ExamIn order to get a passing grade for the course, the student must sit (all parts) of the examination.
Interim Assessment
- 2025/2026 4th module0.29 * 1st semester written assessment (covering the topics of the 1-2 modules) + 0.12 * Class assignments & quizzes, attendance, activity & participation (1-4 modules) + 0.4 * Final Exam + 0.19 * Homework Assignments (1-4 modules)
Bibliography
Recommended Core Bibliography
- Dempsey, M. (2020). Investment Analysis : An Introduction to Portfolio Theory and Management. London: Routledge. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2278900
- Pagdin, I., & Hardy, M. (2017). Investment and Portfolio Management : A Practical Introduction (Vol. 1st). London: Kogan Page. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1621031
- Stewart, S. D., Piros, C. D., & Heisler, J. (2019). Portfolio Management : Theory and Practice (Vol. Second edition). Hoboken, New Jersey: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2091393