Portfolio Theory

Faculteit Economie en Bedrijfskunde
Jaar 2017/18
Vakcode EBM015B05
Vaknaam Portfolio Theory
Niveau(s) master
Voertaal Engels
Periode semester I a
ECTS 5
Rooster rooster

Uitgebreide vaknaam Portfolio Theory
Leerdoelen Upon completion of the course the student is able to:
1. Discuss and interpret the concept of portfolio theory and relate it to asset pricing.
2. Apply portfolio theory and implement it given practical limitations such as short sales constraints.
3. Discuss and analyze several well-known active and passive investment strategies.
4. Evaluate and test alternative investment models and theories.
5. Construct efficient spreadsheets for portfolio problems.
6. Student is able to communicate the results of modelling and testing investment strategies.
Omschrijving Portfolio theory addresses the question of how to construct portfolios of individual stocks and bonds that satisfy the objectives of an investor. We study the theory of portfolio management and asset allocation In addition, we study asset pricing models (CAPM, APT) and how asset pricing models can be tested empirically. Students learn also how to use Excel in building models for constructing and evaluating portfolios.
Uren per week 5
Onderwijsvorm hoor- en werkcolleges
(Grades are based on an exam session and assignment(s).)
Toetsvorm opdracht(en), schriftelijk tentamen met meerkeuzevragen, schriftelijk tentamen met open vragen
(Resit semester I b.)
Vaksoort master
Coördinator dr. A. Plantinga
Docent(en) dr. ing. N. Brunia ,dr. A. Plantinga
Verplichte literatuur
Titel Auteur ISBN Prijs
Modern Portfolio Theory: Foundation, Analysis, and New Developments, Wiley. Edition, John Wiley & Sons Francis, J.C., and D. Kim 978111837052052-0 ca. €  60,00
Entreevoorwaarden Only for MSc Finance students.
Opmerkingen Secretary: Ms. G. Pol, tel: +31 (0)50 3633685, e-mail: g.pol@rug.nl. Room 5411.0836.
During several classes, we invite students to bring their laptop to class for hands-on instruction and application of the theories discussed during class.
Opgenomen in
Opleiding Jaar Periode Type
DD MSc Finance - Lund University, Lund (1,5-jarig)  (basisprogramma voor studenten uit Lund) 2 semester I a verplicht
DD MSc Finance - Lund University, Lund (1,5-jarig)  (basisprogramma voor studenten van FEB) 1 semester I a verplicht
DD MSc Finance – UAIC of Iasi, Romania (2-jarig)  (basisprogramma voor studenten uit Iasi) 2 semester I a verplicht
MSc Finance  ( basisprogramma MSc Finance) 1 semester I a verplicht