{"id":1093,"date":"2017-02-13T14:33:27","date_gmt":"2017-02-13T13:33:27","guid":{"rendered":"http:\/\/home.agh.edu.pl\/~potorski\/?page_id=1093"},"modified":"2022-03-07T12:47:18","modified_gmt":"2022-03-07T11:47:18","slug":"ptrm-pl","status":"publish","type":"page","link":"https:\/\/home.agh.edu.pl\/~potorski\/teaching\/ptrm-pl","title":{"rendered":"Portfolio Theory and Risk Managment (PL)"},"content":{"rendered":"
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Teoria portfela i zarz\u0105dzanie ryzykiem<\/h2>\n

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O przedmiocie<\/strong><\/p>\n

Przedmiot przeznaczony dla student\u00f3w studi\u00f3w I i II stopnia na kierunku\u00a0Matematyka, w szczeg\u00f3lno\u015bci dla specjalno\u015bci Matematyka Finansowa, Wydzia\u0142\u00a0Matematyki Stosowanej<\/span>. Semestr letni 2021\/2022.<\/span><\/p>\n

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Syllabus oraz warunki zaliczenia przedmiotu<\/strong><\/p>\n

Syllabus kursu<\/a>
\nZasady zaliczenia<\/p>\n

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Powt\u00f3rka<\/div><\/strong><\/h6>\n

Zmienna losowa i jej momenty. Rozk\u0142ad lognormalny.<\/p>\n

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Zwrot<\/div><\/strong><\/h6>\n

Analiza zwrotu\u00a0z wybranych inwestycji. Dywidenda.<\/p>\n

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Portfel<\/div><\/strong><\/h6>\n

Portfel o dw\u00f3ch walorach. Wagi. Ryzyko. Kowariancja, wsp\u00f3\u0142czynnik korelacji.<\/p>\n

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Kr\u00f3tka sprzeda\u017c<\/div><\/strong><\/h6>\n

Por\u00f3wnywanie walor\u00f3w. Wsp\u00f3\u0142czynnik korelacji a niezale\u017cno\u015b\u0107. Portfele z i bez kr\u00f3tkiej sprzeda\u017cy.<\/p>\n

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Optymalizacja<\/div><\/strong><\/h6>\n

Minimalna wariancja dla\u00a0MVP. Portfel rynkowy MP.<\/p>\n

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Model dwumianowy<\/div><\/strong><\/h6>\n

Model dwumianowy w MS Excel. Strategie inwestycyjne – symulacje. Oczekiwany zwrot i ryzyko.<\/p>\n

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Kolokwium 1<\/div><\/strong><\/h6>\n

Zwrot, przysz\u0142a cena i ryzyko. Oczekiwany zwrot, odchylenie standardowe i wariancja. Planowanie inwestycji. Kr\u00f3tka sprzeda\u017c. Portfele MVP i MP.<\/p>\n

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Wiele walor\u00f3w<\/div><\/strong><\/h6>\n

Dwa i wi\u0119cej walor\u00f3w.\u00a0Macierz kowariancji a macierz korelacji. Obliczenia macierzowe w programie MS Excel.<\/p>\n

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Wiele walor\u00f3w<\/div><\/strong><\/h6>\n

Szukanie MVP. Linia MVL. Por\u00f3wnanie metod wyznaczania portfela z MVL o zadanym zwrocie. Wizualizacja portfela dla n<\/em> walor\u00f3w. Portfel a ryzyko i zwrot.<\/p>\n

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Model CAPM i\u00a0VaR <\/div><\/strong><\/h6>\n

Model CAPM. Funkcje u\u017cyteczno\u015bci. VaR.<\/p>\n

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Kolokwium 2<\/div><\/strong><\/h6>\n

Portfele z wieloma walorami. Model CAPM. Strategie.<\/p>\n

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Projekt<\/div><\/strong><\/h6>\n

Inwestycja. Zwrot. Portfel. Dzia\u0142anie. Rzeczywisto\u015b\u0107.<\/p>\n

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