Master
2025/2026
Investment Portfolio Management
Type:
Compulsory course (Investments in Financial Markets)
Delivered by:
Master's Programmes Curriculum Support
Where:
Faculty of Economic Sciences
When:
1 year, 4 module
Online hours:
20
Open to:
students of one campus
Instructors:
Maria Afonina
Language:
English
ECTS credits:
3
Contact hours:
12
Course Syllabus
Abstract
The discipline is designed to train specialists in the field of investment in financial markets. To master the academic discipline, students must possess the following knowledge and competencies: - to know the principles of organizing the securities market and the main characteristics of the instruments traded on it; - to be able to use databases containing asset prices, rates, etc., presented in publicly available sources; - to be able to perform mathematical and statistical calculations using spreadsheet processors on a PC.
Learning Objectives
- The goal of the course is to provide students with a system of knowledge, competencies, and practical skills necessary to work in various positions in the field of investment investments.
Expected Learning Outcomes
- Select suitable assets for portfolio formation
- Meet the challenge of immunizing the bond portfolio
- Calculate the expected return and risk of the portfolio on the known characteristics of its constituent assets (expected returns, risks, covariances) and their shares in the portfolio
- Explain how capital market expectations and the investment policy statement help to influence the decision on strategic asset allocation, and how the investment time horizon can influence the strategic asset allocation of the investor
- Create a portfolio of different assets that meet expected investment objectives according to expected risk and return
Course Contents
- 1. Introduction
- 2. Bond Portfolio Management
- 3. Risk and return
- 4. Formation of an optimal portfolio
- 5. Active vs. Passive Management, Investment Horizon
- 6. Evaluation of portfolio management effectiveness
- 7. Value at Risk (VAR), "asymmetric" risk measures
Interim Assessment
- 2025/2026 4th moduleОценка за курс = 0.4*Оценка за итоговый тест + 0.2*Оценка за проект + 0.4*Оценка за оцениваемые тестовые задания по темам лекций
Bibliography
Recommended Core Bibliography
- Егорова, М. А. Управление инвестициями. Управление инвестиционным портфелем : учебно-методическое пособие / М. А. Егорова, В. И. Котов. — Санкт-Петербург : СПбГУТ им. М.А. Бонч-Бруевича, 2022. — 46 с. — Текст : электронный // Лань : электронно-библиотечная система. — URL: https://e.lanbook.com/book/279332 (дата обращения: 00.00.0000). — Режим доступа: для авториз. пользователей.
- Лимитовский, М. А. Инвестиционные проекты и реальные опционы на развивающихся рынках : учебное пособие для вузов / М. А. Лимитовский. — 5-е изд., перераб. и доп. — Москва : Издательство Юрайт, 2024. — 486 с. — (Высшее образование). — ISBN 978-5-534-02878-2. — Текст : электронный // Образовательная платформа Юрайт [сайт]. — URL: https://urait.ru/bcode/535451 (дата обращения: 02.07.2026).
- Управление портфелем проектов как инструмент реализации корпоративной стратегии : учебник для бакалавриата и магистратуры, Кузнецова, Е. В., 2018
Recommended Additional Bibliography
- Fabozzi, F. J. (2002). The Handbook of Financial Instruments. Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=81949
- Fixed income analysis workbook, Fabozzi, F. J., 2007
- Инвестиционные рычаги максимизации стоимости компании : практика российских предприятий, Теплова, Т. В., 2007
- Рынок ценных бумаг : учебник для вузов, Галанов, В. А., 2017
- Форвардные, фьючерсные и опционные рынки, Буренин, А. Н., 2015