UNΙVERSITY OF PIRAEUS

DEPARTMENT OF BANKING & FINANCIAL MANAGEMENT,

GRADUATE PROGRAM ΙN BANKING & FINANCE

Course: Portfolio Management

Course Objective

This course focuses on developing the theory of investment management and exploring its practical applications. Its goal it to present the main techniques of asset allocation, as well as of portfolio management and return evaluation. Numerically complex applications are treated by Excel.

Suggested Textbooks

• • Bodie, A. Kane and A. Marcus, Investments, 11^thEdition, McGraw-Hill, 2018

• Γεώργιος Π. Διακογιάννης, Σύγχρονη Θεωρία Χαρτοφυλακίου, Ανάλυση & Εφαρμογές, Εκδόσεις Διπλογραφία, Αθήνα, 2019.

Course Description

The following sections will be presented:

• Investment Decisions: Objectives, Constraints, Mistakes, Asset Allocation.
• Equity Valuation: Criteria, Asset Risk, Market Value, Price to Earnings (P/E) Ratio, Price to Earnings – Growth (PEG) Ratio, Dividend Yield, Price to Book Value (P/BV) Ratio, Price to Sales (P/S) Ratio, Asset Return.
• Risk and Risk Aversion: Risk and Investments, Risk Premiums, Risk with Simple Prospects, Speculation and Gambling, Utility Values, Trade-Off Between Risk and Return.
• Portfolio Optimization Theory: Capital Allocation, One Risky Asset and One Risk-Free Asset, Risk Tolerance, Diversification and Portfolio Risk, Two Risky Assets, Two Risky Assets and a Risk-Free Asset.
• Capital Asset Pricing Model (CAPM): Assumptions, Resulting Equilibrium Conditions, Capital Market Line, Risk Premium of the Market Portfolio, Expected Returns on Individual Securities, The Security Market Line.
• Single-Index & Multifactor Models: Systematic Risk vs Firm-Specific Risk, Estimating the Index Model, The Index Model and Diversification, CAPM And Index Model, Predicting Betas, Multifactor Models.
• Arbitrage Pricing Theory (APT): Notion of Arbitrage, Arbitrage Opportunities, Well-Diversified Portfolios, Betas and Expected Returns, The Security Market Line, The APT and the CAPM, A Multifactor APT.
• Portfolio Performance Evaluation: Sharpe’s Ratio, Treynor’s Ratio, Jensen’s Measure, Appraisal Ratio, M²