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Module Specifications..

Current Academic Year 2023 - 2024

Please note that this information is subject to change.

Module Title Portfolio Management Theory
Module Code EF522
School DCUBS
Module Co-ordinatorSemester 1: Brian O'Kelly
Semester 2: Brian O'Kelly
Autumn: Brian O'Kelly
Module TeachersShane Murphy
Brian O'Kelly
Niall O'Sullivan
Mark Cummins
Bernard Murphy
Sandeep Keshava Rao
Alan Thomas Duffy
Mahdavi Ardekani Seyed Aref
NFQ level 9 Credit Rating 5
Pre-requisite None
Co-requisite None
Compatibles None
Incompatibles None

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

Workload Full-time hours per semester
Type Hours Description
Lecture48The lecturer will present the essential ideas and core concepts, pointing students towards resources where they can get further information.
Independent Study48Preparation for lectures and assigned readings.
Independent Study29Individual / 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

Capital Asset Pricing Model

Multi-Factor Models of Asset Returns

Time Varying Risk – Conditional and Unconditional Models

Market Timing – Regression Based and Nonparametric Tests

Weaknesses of Standard Performance Measures

Nonparametric Performance Estimation (bootstrapping)

Persistence – including Nonparametric Estimation

Basics of Bond Markets

Asset Allocation

Risk Measurement and Management

Assessment Breakdown
Continuous Assessment100% Examination Weight0%
Course Work Breakdown
TypeDescription% of totalAssessment Date
AssignmentIndividual / group project25%Week 10
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, 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

Programme or List of Programmes
MITBMSc in Investment, Treasury & Banking
Date of Last Revision24-MAY-10

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