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8. Content

8. 1 CourseTeaching

methodsRemarks

Introduction in portfolio management theory

Lecture and

debates with

students. The

The course notes will

be available for

download on the

delivery equipment

5.2. regarding seminar

delivery The seminars will take place in classrooms with internet access

6. Specific competencies acquired

Professional

competencies C1 - Operating with scientific concepts and methods in interdisciplinary areas;

C4 - The use of the elements characteristic to the capital market and the

fundamentals of the financial markets theory in investment analysis and portfolio

management;

7. Objectives of the discipline (outcome of the acquired competencies)

7.1 General objective of

the discipline

The course introduces the concept of portfolio theory to investments, individual

and institutional. Subjects cover portfolio risk and return measures andintroduce modern portfolio theory - a quantitative framework for portfolio

selection and asset pricing, and focuses on the portfolio planning and

construction process. Students, upon graduation, will be able to:

-Explain meanvariance analysis and its assumptions, and calculate theexpected return and the standard deviation of return for a portfolio of two or

more assets: asset allocation , portfolio construction and revision

performance evaluation and performance presentation

-Describe the minimum-variance and efficient frontiers, and explain the steps to

solve for the minimum-variance frontier; perform a case study with specificcompanies, listed on local stock exchange.

-Explain the benefits of diversification and how the correlation in a two-assetportfolio and the number of assets in a multi-asset portfolio improve the

diversification benefits

-Explain the capital allocation and capital market lines (CAL and CML) and the

relation between them, and calculate the value of one of the variables givenvalues of the remaining variables

-Explain the capital asset pricing model (CAPM), including its underlying

assumptions and the resulting conclusions; perform a specific, with real basedstocks, portfolio composition exercise and defend the findings

-Explain the security market line (SML), the beta coefficient, the market risk

premium, and the Sharpe ratio, and calculate the value of one of these variables

given the values of the remaining variables

-Explain the market model, and state and interpret the market modelspredictions with respect to asset returns, variances, and covariances; understand

and apply economic analysis in setting Capital Market expectations

7.2 Specific objectives of

the discipline

- Accommodating the students with the key elements of capital markets, with

the fundamentals of financial markets theory and with the methods and

techniques for issuing, pricing and trading on financial markets;- Evaluating financial assets, assessing their risk and return;

- Operating with the market model and with models for portfolio management;

- Estimating the normal rate of return for a financial asset and evaluating it;

- Operating with various strategies for portfolio management and measuringtheir performance.

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lectures are

supported by

power-point

presentations,

word and excel

applications and

by access tomultimedia

resources.

program site prior to

every activity.

It is recommended

that the students

should read the

course notes in

advance so that theywill be able to

participate in debates.

Issuing, pricing and evaluating stocks and bonds 1 lecture Interactive lecture

Security expected return and standard deviation 1 lecture Idem

Expected return and standard deviation for portfolios.

Mean-variance combinations

1 lectureIdem

The market model. Market indices, local, global 1 lectures Idem

The risk and returns of financial assets portfolios:

Calculate beta, and explain the use of adjusted and

historical betas as predictors of future betas

1 lectures

Idem

Markowitz and Sharpe models for selecting efficient

portfolios. The capital allocation line (CAL) and the

capital market line (CML) for selecting efficient

portfolios.

2 lectures

Idem

CAPM, SML and multi-factorial models-Describe the arbitrage pricing theory (APT), including its

underlying assumptions and its relation to the multifactor

models, calculate the expected return on an asset given anassets factor sensitivities and the factor risk premiums,

investigate arbitrage opportunity, including how to exploitthe opportunity

-Describe and compare macroeconomic factor models,

fundamental factor models, and statistical factor models

-Calculate the expected return on a portfolio of two stocks,given the estimated macroeconomic factor model for each

stock

2 lectures

Idem

Under/Overvaluation of assets according to CAPM 1 lecture Idem

Measurement Methods of Portfolio Management

Performance; Alternative Investments Management

Strategies.

1 lecture Idem

Risk management by using derivatives. Types of

derivatives instruments and their characteristics,

markets.

1 lecture

VaR for individual assets and for portfolios 1 lecture Idem

Bibliography:

-

John L. Maginn (Editor), Donald L. Tuttle (Editor), Dennis W. McLeavey (Editor), Jerald

E. Pinto (Editor),Managing Investment Portfolios: A Dynamic Process, 3rd Edition, 2007

-

Michael G. McMillan, CFA, Jerald E. Pinto, Wendy Pirie, CFA, Gerhard Van de Venter,

CFA,Investments: Principles of Portfolio and Equity Analysis, 2011

- Jerald E. Pinto, Elaine Henry, CFA, Thomas R. Robinson, John D. Stowe, CFA, Abby

Cohen, CFA (Foreword by),Equity Asset Valuation, 2nd Edition, 2010

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Bodie Z., Kane A., Marcus A.,Investments, 6th edition, McGraw-Hill/Irwin, 2005

-

Scientific papers and study cases related to the subject of the course.

-

Altr, Moise,Portfolio Management, www.dofin.ase.ro, 2000.

-

Maginn, J. L. et al.,Managing Investment Portfolios: A Dynamic Process, Wiley, 2007.

-

Solnik, McLeavey, Global Investments, 6th ed., Addison-Wesley, 2008.- Stancu Ion:Finance, 4th editon, Ed. Economic, Bucureti, 2007, part I-a and part II

- Stancu Ion (editor):Fundamental Articles in Finance, ASE, Bucureti, 1998.

8. 2 Seminar/lab activitiesTeaching

methodsRemarks

Computing and interpreting the risk and return of

individual financial assetsCase studies. Interactive seminar.

Computing and interpreting the risk and return of

financial assets portfoliosCase studies. Interactive seminar.

Employing Markowitz and Sharpe models for

selecting efficient portfoliosCase studies. Interactive seminar.

Employing CAPM and multifactorial models for

financial assets valuation

Compare underlying assumptions and conclusions of

the CAPM and APT model, and explain why an

investor can possibly earn a substantial premium for

exposure to dimensions of risk unrelated to market

movements.

Case studies. Interactive seminar.

Establishing under/overvaluation of financial assets

according to CAPMCase studies. Interactive seminar.

Measurement Methods of Portfolio Management

Performance; Alternative Investments Management

Strategies

Case studies. Interactive seminar.

Applying measures of risk in understanding overall

portfolio risk: VaR for individual assets and portfoliosCase studies. Interactive seminar.

Bibliography:

- John L. Maginn (Editor), Donald L. Tuttle (Editor), Dennis W. McLeavey (Editor), Jerald

E. Pinto (Editor),Managing Investment Portfolios: A Dynamic Process, 3rd Edition, 2007

- Michael G. McMillan, CFA, Jerald E. Pinto, Wendy Pirie, CFA, Gerhard Van de Venter,

CFA, Lawrence E. Kochard, CFA (Foreword by),Investments: Principles of Portfolio and

Equity Analysis, 2011

-

Jerald E. Pinto, Elaine Henry, CFA, Thomas R. Robinson, John D. Stowe, CFA, Abby

Cohen, CFA (Foreword by),Equity Asset Valuation, 2nd Edition, 2010-

Bodie Z., Kane A., Marcus A.,Investments, 6th edition, McGraw-Hill/Irwin, 2005

-

Maginn, J. L. et al.,Managing Investment Portfolios: A Dynamic Process, Wiley, 2007

-

Solnik, McLeavey, Global Investments, 6th ed., Addison-Wesley, 2008

-

Stancu, I., Stancu Dumitra, Corporate Finance with Excel, Ed Economic, Bucureti, 2010

- Scientific papers and study cases related to the subject of the course.

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10. Evaluation

Type of activity 10.1 Evaluation criteria 10.2 Evaluation methods

10.3 Share in

the final

grade (%)

10.4 Course

Minimum 80% attendance

at scheduled activities.

Involvement in the lecture

with comments, questions

and examples.

Final exam (project

presentation)50%

10.5 Seminar/lab

activities

Minimum 80% attendanceat scheduled activities.

Involvement in the lecture

with comments, questions

and examples

Final exam (project

presentation)50%

10.5 Minimum performance standard

Elaborating a project for selecting efficient portfolios

Date of syllabus

proposal

Signature of the professor for the

course,

Signature of the professor for the

seminar,

10.09.2013 Prof. univ. dr. Ion Stancu Prof. univ. dr. Ion Stancu

Date of the approval in the

departmentSignature of the Head of the department,

12.09.2013 Conf. univ. dr. Lucian Ttu

9. Corroborating the content of the discipline with the expectations of the epistemic

community, professional associations and relevant employers

The syllabus of the course is discussed with experts from CFA Romnia (Chartered Financial

Analyst), as well as with specialists and representatives of notable companies in the field of

financial markets, investment management, private banking, investment brokerage, etc.