Module: Portfolio Theory

Module Specifications..

Current Academic Year 2023 - 2024

Please note that this information is subject to change.

Module Title	Portfolio Theory
Module Code	EF5159
School	DCUBS
Module Co-ordinator	Semester 1: Pawan Kumar Semester 2: Pawan Kumar Autumn: Pawan Kumar
Module Teachers	Liam Gallagher Michael Dowling Xinquan Zhou Pawan Kumar
NFQ level	9	Credit Rating	7.5
Pre-requisite	None
Co-requisite	None
Compatibles	None
Incompatibles	None

Repeat examination

Description

The objective of this module is to apply theoretical and analytical concepts to the investment management process. The course covers the theoretical and practical basis of portfolio management. It builds on the modern portfolio theory and focuses on the topics that are important for the practice of fund management. The course includes quantification of the relationship between risk and return, security valuation, asset allocation decisions, portfolio optimisation, performance measurement, portfolio analysis, implementation and computing technology that enhances fund management. The emphasis is on providing students with analytical skills that have an application value. The course aims to give students (1) a deep understanding of the investment management process, (2) be able to apply modern techniques to asset allocation and investment management, and (3) evaluate the performance of portfolio investments.

Learning Outcomes

1. LO1 analyse and critique mean-variance portfolio theory
2. LO2 demonstrate an understanding of how to model asset prices
3. LO3 estimate and differentiate between alternative portfolio investment strategies
4. LO4 evaluate the performance of investment funds (and fund managers)
5. LO5 appraise modern portfolio management techniques for asset allocation

*Type*	*Hours*	*Description*
Workload	Full-time hours per semester
Lecture	36	Formal lectures and Exercise-based classes
Directed learning	61.5	Readings around course content
Assignment Completion	30	Take home assinments
Directed learning	60	Exam Preparation
Total Workload: 187.5

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities

Mean Variance Portfolio Theory
Risk and return; diversification; efficient frontier; minimum variance portfolio; correlation structures; constraining the efficient frontier - short sales, riskless borrowing and lending

Index Models
Single index model; market model; multi-index model

Simple techniques for portfolio selection
Applying the single index model to determine the efficient frontier

The relationship between index models and asset pricing models
Capital asset pricing model and related equilibrium models; arbitrage pricing theory; empirical evidence and implications

Evaluating Portfolio Performance
Risk-adjusted measures; Sharpe, Treynor and Jensen Values; Fama decomposition; mutual fund performance; market timing; performance persistence

Factor Models
Fama and French 3 and 5 factor models; Carhart 4 factor model; Conditional and unconditional factor models

Security Analysis
Efficient markets; valuation process; earnings estimation and evaluation of earnings forecasts

Assessment Breakdown
Continuous Assessment	40%	Examination Weight	60%

Type	Description	% of total	Assessment Date
Course Work Breakdown
Assignment	Knowledge in the subject	25%	n/a

Reassessment Requirement Type
Resit arrangements are explained by the following categories; 1 = A resit is available for all components of the module 2 = No resit is available for 100% continuous assessment module 3 = No resit is available for the continuous assessment component
This module is category 1

Indicative Reading List

Elton, Edwin J., Martin J. Gruber, Stephen J. Brown and William N. Goetzmann: 0, Modern Portfolio Theory and Investment Analysis,
Cuthbertson, Keith, and Dirk Nitzsche: 0, Quantitative Financial Economics,
Cuthbertson, Keith, and Dirk Nitzsche: 0, Investments: Spot and Derivatives Markets,

Other Resources

None

Programme or List of Programmes

MFCM	MSc in Finance

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