Portfolio Investment Theory and Market Data Analysis
Course duration: 6 h
Portfolio Investment Theory is the tool for making decisions for investments in stock markets. The theory attempts to maximize the return of the investment with certain amount of risk for a given size of the investment portfolio. The theory is based on a mathematical formulation of the concept of diversification in investments, For example, when you buy stocks of some company, you also wish to lower the risk of losing money, and to maximize the returns. For this purpose, you calculate the coefficient between the rate of return of the company's stock under consideration and the average rate of return of the whole stock market. And then, you will evaluate the degree of risk of this investment before the decision.
This course explains the mathematical model of the Modern Portfolio Theory, on which several
economists received the Nobel Memorial Prize in the 20th Century, and then the relation between the risks and the expected returns of the investments. The importance of the diversification of portfolio will be explained upon the mathematical expression, and how the risk aversion plays important role in the theory upon utility function will be explained. After mathematical model is explained, the example of data analysis is made, with the real stock market data such as S&P 500. Students are expected to make a short computer exercise with the given database.
Prof. Yoshio Matsuki
Place of employment: Department of Mathematical Method for System Analysis, Institute Applied System Analysis, National Technical University of Ukraine "Kyiv Polytechnic Institute"