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Advanced Portfolio Management

Summary

This course is designed to provide a comprehensive understanding of portfolio management using advanced techniques and tools. The course covers the basics of Python programming language and its applications in financial analysis, including data structures using NumPy and Pandas libraries. The course then delves into portfolio optimization and efficient set models, including mean-variance portfolio optimization, mean-semivariance, mean-CVaR, mean-CDaR, and the Black-Litterman model. The course also covers the uniform portfolio, the portfolio with uniform risk contributions, and the Hierarchical Risk Parity portfolio. Additionally, the course covers measuring portfolio performance and risk and various approaches to portfolio rebalancing, including alarms. The course also covers the basics of algorithmic trading and automated trading systems, including an example of two moving averages crossover system. Overall, this course provides a solid foundation for advanced portfolio management and equips learners with the necessary skills to succeed in this field.

Literature

BRUGIÈRE, Pierre. Quantitative portfolio management: with applications in Python. Cham, Switzerland: Springer, 2020. Springer texts in business and economics. ISBN 978-3-030-37739-7.
HILPISCH, Yves J. Python for algorithmic trading: from idea to cloud deployment. Sebastopol, CA: O'Reilly, 2020. ISBN 978-1-492-05335-4.
PETZEL, Todd E. Modern Portfolio Management: Moving Beyond Modern Portfolio Theory. Hoboken, New Jersey: Wiley, 2022. ISBN 978-1119818502.

Advised literature

CFA Institute. Quantitative Investment Analysis. Fourth edition. Hoboken, New Jersey: Wiley, 2020. CFA Institute Investment Series. ISBN 978-1-119-74362-0.
PALEOLOGO, Giuseppe A. Advanced Portfolio Management: A Quant's Guide for Fundamental Investors. Hoboken, New Jersey: Wiley, 2021. ISBN 978-1119789796.
POMPIAN, Michael M. Behavioral finance and your portfolio: a navigation guide for building wealth. Hoboken, New Jersey: Wiley, 2021. ISBN 978-1119801610.


Language of instruction angličtina
Code 154-0579
Abbreviation APM
Course title Advanced Portfolio Management
Coordinating department Department of Finance
Course coordinator doc. Ing. Aleš Kresta, Ph.D.