INVESTMENT APPRAISAL AND PORTFOLIO MANAGEMENT

Course Information
TitleΑΞΙΟΛΟΓΗΣΗ ΕΠΕΝΔΥΣΕΩΝ ΚΑΙ ΔΙΑΧΕΙΡΙΣΗ ΧΑΡΤΟΦΥΛΑΚΙΟΥ / INVESTMENT APPRAISAL AND PORTFOLIO MANAGEMENT
CodeΜΠΠ2
FacultySocial and Economic Sciences
SchoolEconomics
Cycle / Level2nd / Postgraduate
Teaching PeriodSpring
CoordinatorNikolaos Thomaidis
CommonNo
StatusActive
Course ID600012693
Class Information
Academic Year2017 – 2018
Class PeriodSpring
Faculty Instructors
Weekly Hours3
Class ID
600054173
Mode of Delivery
  • Face to face
Digital Course Content
Language of Instruction
  • Greek (Instruction, Examination)
Learning Outcomes
 Understanding the concepts of investment risk and return.  Learning a variety of techniques for investment appraisal and portfolio selection in different market environments.  Demonstrating practical aspects of portfolio selection through the use of real market data.  Performing basic calculations in portfolio theory using popular software packages (solving optimisation problems, estimating beta coefficients, calculating the efficient frontier).
General Competences
  • Apply knowledge in practice
  • Retrieve, analyse and synthesise data and information, with the use of necessary technologies
  • Adapt to new situations
  • Make decisions
  • Work autonomously
  • Work in an international context
  • Work in an interdisciplinary team
  • Generate new research ideas
  • Design and manage projects
  • Advance free, creative and causative thinking
Course Content (Syllabus)
 Fixed-income portfolio management: interest rate theory, pricing of bonds, treasury bills and other FX products, duration and modified duration, convexity, portfolio immunization, term structure of interest rates, yield spread, credit rating of bond issuers.  Equity portfolio management: measures of return and risk, mean-variance analysis, the Markowitz framework, efficient frontier, capital asset pricing model (CAPM), systematic and idiosyncratic risk, single-/ multi-index models, arbitrage pricing theory (APT), evaluating the performance of fund managers (Sharpe ratio, Treynor’s ratio and Jensen’s Alpha).  Managing portfolio of financial derivatives. Pricing of derivatives and risk hedging, sensitivity measures and the "Greeks"(Delta, Gamma, etc).  Practical-level portfolio management: estimating the parameters of CAPM and APT models, utilisation alternative measures of risk and return, portfolio selection beyond the classical Markowitz framework, implementing a portfolio management strategy in an imperfect market environment (rebalancing of positions, transaction costs, bid-ask spreads), empirical evidence on the validity of CAPM and APT.
Educational Material Types
  • Notes
  • Slide presentations
  • Book
Use of Information and Communication Technologies
Use of ICT
  • Use of ICT in Course Teaching
  • Use of ICT in Laboratory Teaching
Description
This module teaches basic concepts and techniques for the appraisal of financial investments and the management of a portfolio of financial securities. Students are exposed to modern approaches to the calculation of the expected yield and risk of different types of financial securities (stocks, bonds, derivatives, etc) as well as various methods for deriving an efficient capital allocation depending on the investor’s targets and constraints.
Course Organization
ActivitiesWorkloadECTSIndividualTeamworkErasmus
Lectures602✓
Laboratory Work301✓
Project501.7✓
Exams401.3✓
Total1806
Student Assessment
Student Assessment methods
  • Written Exam with Problem Solving (Summative)
  • Labortatory Assignment (Summative)
Bibliography
Course Bibliography (Eudoxus)
 Βασιλείου, Δ. και Ηρειώτης, Ν. (2009), Ανάλυση επενδύσεων και διαχείριση χαρτοϕυλακίου, Rosili.
Additional bibliography for study
 Luenberger, D.G. (1998), Investment Science, Oxford University Press.  Elton, E. J., Gruber, M. J., Brown, S. J. και Goetzmann, W. N. (2003), Modern Portfolio Theory and Investment Analysis, John Wiley & Sons, Inc., 6th edition.
Last Update
27-02-2018