Module: Portfolio Management Theory

Module Specifications.

Current Academic Year 2024 - 2025

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Date posted: September 2024

Module Title	Portfolio Management Theory
Module Code	EF522 (ITS) / FBA1039 (Banner)
Faculty	DCU Business School	School	DCU Business School
Module Co-ordinator	Seyed Aref Mahdavi Ardekani
Module Teachers	Alan Thomas Duffy, Shane Murphy
NFQ level	9	Credit Rating	5
Pre-requisite	Not Available
Co-requisite	Not Available
Compatibles	Not Available
Incompatibles	Not Available

None
Array

Description

This module studies portfolio theory including portfolio selection and optimisation as well as portfolio performance evaluation. It introduces and applies linear factor models in evaluating portfolio performance in stock selection, market timing and persistence. It applies recent methods to more accurately measure fund performance in the face of non-normality, time varying parameters and other non-standard statistical circumstances. It then looks at bond markets and asset allocation. Finally, this module examines risk measurement techniques as particularly applied in portfolio management.

Learning Outcomes

1. Describe the return versus risk trade off in portfolio construction
2. Derive optimal portfolios
3. Evaluate risk adjusted portfolio performance
4. Critically appraise various return measures
5. Interpret the economic as well as statistical significance of performance findings
6. Calculate various risk metrics

*Type*	*Hours*	*Description*
Workload	Full-time hours per semester
Lecture	48	The lecturer will present the essential ideas and core concepts, pointing students towards resources where they can get further information.
Independent Study	48	Preparation for lectures and assigned readings.
Independent Study	29	Individual / group project on a topic approved by the Lecturer.
Total Workload: 125

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

1.
Capital Asset Pricing Model

2.
Multi-Factor Models of Asset Returns

3.
Time Varying Risk – Conditional and Unconditional Models

4.
Market Timing – Regression Based and Nonparametric Tests

5.
Weaknesses of Standard Performance Measures

6.
Nonparametric Performance Estimation (bootstrapping)

7.
Persistence – including Nonparametric Estimation

8.
Basics of Bond Markets

9.
Asset Allocation

10.
Risk Measurement and Management

Assessment Breakdown
Continuous Assessment	100%	Examination Weight	0%

Type	Description	% of total	Assessment Date
Course Work Breakdown
Assignment	Individual / group project	25%	Week 10

Reassessment Requirement Type
Resit arrangements are explained by the following categories: Resit category 1: A resit is available for both* components of the module. Resit category 2: No resit is available for a 100% continuous assessment module. Resit category 3: No resit is available for the continuous assessment component where there is a continuous assessment and examination element.
* ‘Both’ is used in the context of the module having a Continuous Assessment/Examination split; where the module is 100% continuous assessment, there will also be a resit of the assessment
This module is category 1

Indicative Reading List

Elton, E. and M. Gruber: 1995, Portfolio Analysis, 5th edition, Wiley,
Blake, D: 2000, Financial Market Analysis, 2nd edition, McGrawHill,
Cuthbertson, K. and D. Nitzsche: 2004, Quantitative Financial Economics, 2nd Ed, Wiley,
Farrell, James L: 1997, Portfolio Management: Theory and Applications, 2nd Ed., McGraw-Hill International,
Bodie, Z., Kane, A and M. Alan: 1996, Investments, Irwin,
Cuthbertson, K. and D. Nitzsche: 2001, Financial Engineering and Risk Management, Wiley,
Dowd, Kevin: 1998, Beyond Value at Risk: The New Science of Risk Management, Wiley,
Rutterford, J.: 1993, Introduction to Stock Exchange Invest, 2nd edition, Macmillen Press,

Other Resources

None