Module: Portfolio Management Theory

Latest Module Specifications

Current Academic Year 2025 - 2026

Module Title	Portfolio Management Theory
Module Code	FBA1039 (ITS: EF522)
Faculty	DCU Business School	School	DCU Business School
NFQ level	9	Credit Rating	5

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. 1D6488D6-77FF-0001-555C-1EF17800137D
3. 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

Section Breakdown
CRN	11055	Part of Term	Semester 1
Coursework	0%	Examination Weight	0%
Grade Scale	40PASS	Pass Both Elements	Y
Resit Category	RC1	Best Mark	N
Module Co-ordinator	Seyed Aref Mahdavi Ardekani	Module Teacher	Alan Thomas Duffy, Shane Murphy

Type	Description	% of total	Assessment Date
Assessment Breakdown
Assignment	Individual / group project	25%	Week 10
Formal Examination	End-of-Semester Final Examination	75%	End-of-Semester

Reassessment Requirement Type
Resit arrangements are explained by the following categories; RC1: A resit is available for both^* components of the module. RC2: No resit is available for a 100% coursework module. RC3: No resit is available for the coursework component where there is a coursework and summative examination element. ^* ‘Both’ is used in the context of the module having a coursework/summative examination split; where the module is 100% coursework, there will also be a resit of the assessment

Pre-requisite	None
Co-requisite	None
Compatibles	None
Incompatibles	None

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

Indicative Reading List

Books:

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,

Articles:
None

Other Resources

None