Advanced Portfolio Management

Type of study	Bachelor
Language of instruction	English
Code	154-0579/01
Abbreviation	APM
Course title	Advanced Portfolio Management
Credits	5
Coordinating department	Department of Finance
Course coordinator	doc. Ing. Aleš Kresta, Ph.D.

Subject syllabus

1. Introduction to Python: introduction, installation, Anaconda environment, Jupyter Notebook, Spyder editor
2. Introduction to Python: basic concepts and syntax, basic data types and working with variables, control structures
3. Structured data types (data structures), NumPy and Pandas libraries for data science: basic principles, selected cases
4. Working with financial time series in Python, calculation of basic statistics and visualization
5. Mean-variance portfolio optimization
6. General efficient sets: mean-semivariance, mean-CVaR, mean-CDaR
7. Black-Litterman model
8. The uniform portfolio, the portfolio with uniform risk contributions, Hierarchical Risk Parity portfolio
9. Measuring portfolio performance and risk
10. Possible approaches to portfolio rebalancing, alarms
11. Introduction to algorithmic trading and automated trading systems
12. Algorithmic trading and automated trading systems - example of two moving averages
13. Introduction to Python packages yfinance, PyPortfolioOpt, empyrial, Zipline
14. Using MS Excel for portfolio optimization and calculating historical performance

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.

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