SYLLABUS

1. Program description
1.1 University
1.2 Faculty
1.3 Department
1.4 Field of study
1.5 Study cycle
1.6 Program of study/ Qualification

2. Course description
2.1 The name of discipline
Course Code
2.2 Professor for the course
2.3 Professor for the seminar
2.4 Year of
2.5 Semester
I
Study

Bucharest University of Economic Studies

Finance, Insurance, Banks and Stock Exchanges
Finance
Finance
Master
Financial management and investments

Portfolio management
13.0215ZI1.2-0001
Prof. univ. dr. Ion Stancu
Prof. univ. dr. Ion Stancu
2.6 Type of the
2.7 Type of the
II
Exam
Mandatory
evaluation
course

3. Total estimated time (hours/semester of didactic activities)

3.1 Total number of teaching
of which:
3.3 seminar/lab
3
2
hours per week
3.2 course
activities
3.4 Total number of teaching
of which:
3.6 seminar/lab
42
28
hours per semester (cf. curricula)
3.5 course
activities
Time allotment for individual study
Study of the lecture notes, course support, bibliography
Additional documentation (in libraries, on electronic platforms, field documentation)
Preparation for seminar/ lab classes, homework, referrals, projects and essays
Tutorship
Evaluation
Other activities: Work on the projects assigned at the seminar
3.7 Total number of hours for
108
individual study
3.8 Total number of hours per semester
150
(teaching hours and individual study)
6
3. 9 Number of ECTS credits allocated

1
14
hours
35
28
20
2
3
20

4. Pre-requisites (if necessary)

4.1 curriculum
Advanced Financial Reporting and Analysis, Corporate Finance
4.2 competences
Operating with basic concepts regarding statistics, econometrics and capital
markets that were acquired during bachelor studies
A good knowledge of Microsoft Excel, EViews acquired during bachelor
studies
5. Requirements ( if necessary )
5.1. regarding course
The lectures will take place in classrooms with multimedia teaching

delivery
5.2. regarding seminar
delivery

equipment
The seminars will take place in classrooms with internet access

Professional
competencies

6. Specific competencies acquired

C1 - Operating with scientific concepts and methods in interdisciplinary areas;
C4 - The use of the elements characteristic to the capital market and the
fundamentals of the financial markets theory in investment analysis and portfolio
management;

7. Objectives of the discipline (outcome of the acquired competencies)

The course introduces the concept of portfolio theory to investments, individual
7.1 General objective of
and institutional. Subjects cover portfolio risk and return measures and
the discipline

7.2 Specific objectives of

the discipline

introduce modern portfolio theory - a quantitative framework for portfolio

selection and asset pricing, and focuses on the portfolio planning and
construction process. Students, upon graduation, will be able to:
-Explain meanvariance analysis and its assumptions, and calculate the
expected return and the standard deviation of return for a portfolio of two or
more assets: asset allocation , portfolio construction and revision
performance evaluation and performance presentation
-Describe the minimum-variance and efficient frontiers, and explain the steps to
solve for the minimum-variance frontier; perform a case study with specific
companies, listed on local stock exchange.
-Explain the benefits of diversification and how the correlation in a two-asset
portfolio and the number of assets in a multi-asset portfolio improve the
diversification benefits
-Explain the capital allocation and capital market lines (CAL and CML) and the
relation between them, and calculate the value of one of the variables given
values of the remaining variables
-Explain the capital asset pricing model (CAPM), including its underlying
assumptions and the resulting conclusions; perform a specific, with real based
stocks, portfolio composition exercise and defend the findings
-Explain the security market line (SML), the beta coefficient, the market risk
premium, and the Sharpe ratio, and calculate the value of one of these variables
given the values of the remaining variables
-Explain the market model, and state and interpret the market models
predictions with respect to asset returns, variances, and covariances; understand
and apply economic analysis in setting Capital Market expectations
- Accommodating the students with the key elements of capital markets, with
the fundamentals of financial markets theory and with the methods and
techniques for issuing, pricing and trading on financial markets;
- Evaluating financial assets, assessing their risk and return;
- Operating with the market model and with models for portfolio management;
- Estimating the normal rate of return for a financial asset and evaluating it;
- Operating with various strategies for portfolio management and measuring
their performance.

8. Content
8. 1 Course
Introduction in portfolio management theory

Teaching
methods
Lecture and
debates with
students. The

Remarks
The course notes will
be available for
download on the

Issuing, pricing and evaluating stocks and bonds

Security expected return and standard deviation
Expected return and standard deviation for portfolios.
Mean-variance combinations
The market model. Market indices, local, global
The risk and returns of financial assets portfolios:
Calculate beta, and explain the use of adjusted and
historical betas as predictors of future betas
Markowitz and Sharpe models for selecting efficient
portfolios. The capital allocation line (CAL) and the
capital market line (CML) for selecting efficient
portfolios.
CAPM, SML and multi-factorial models

lectures are
supported by
power-point
presentations,
word and excel
applications and
by access to
multimedia
resources.
1 lecture
1 lecture
1 lecture

program site prior to

every activity.
It is recommended
that the students
should read the
course notes in
advance so that they
will be able to
participate in debates.
Interactive lecture
Idem

1 lectures
1 lectures

Idem

Idem

Idem
2 lectures
Idem
2 lectures

-Describe the arbitrage pricing theory (APT), including its

underlying assumptions and its relation to the multifactor

models, calculate the expected return on an asset given an
assets factor sensitivities and the factor risk premiums,
investigate arbitrage opportunity, including how to exploit
the opportunity
-Describe and compare macroeconomic factor models,
fundamental factor models, and statistical factor models
-Calculate the expected return on a portfolio of two stocks,
given the estimated macroeconomic factor model for each
stock

Under/Overvaluation of assets according to CAPM

Measurement Methods of Portfolio Management
Performance; Alternative Investments Management
Strategies.
Risk management by using derivatives. Types of
derivatives instruments and their characteristics,
markets.
VaR for individual assets and for portfolios
Bibliography:

Idem

1 lecture

Idem

1 lecture

Idem

1 lecture
1 lecture

Idem

John L. Maginn (Editor), Donald L. Tuttle (Editor), Dennis W. McLeavey (Editor), Jerald
E. Pinto (Editor), Managing Investment Portfolios: A Dynamic Process, 3rd Edition, 2007

Michael G. McMillan, CFA, Jerald E. Pinto, Wendy Pirie, CFA, Gerhard Van de Venter,
CFA, Investments: Principles of Portfolio and Equity Analysis, 2011

Jerald E. Pinto, Elaine Henry, CFA, Thomas R. Robinson, John D. Stowe, CFA, Abby
Cohen, CFA (Foreword by), Equity Asset Valuation, 2nd Edition, 2010

Bodie Z., Kane A., Marcus A., Investments, 6th edition, McGraw-Hill/Irwin, 2005

Scientific papers and study cases related to the subject of the course.

Altr, Moise, Portfolio Management, www.dofin.ase.ro, 2000.

Maginn, J. L. et al., Managing Investment Portfolios: A Dynamic Process, Wiley, 2007.

Solnik, McLeavey, Global Investments, 6th ed., Addison-Wesley, 2008.

Stancu Ion: Finance, 4th editon, Ed. Economic, Bucureti, 2007, part I-a and part II

Stancu Ion (editor): Fundamental Articles in Finance, ASE, Bucureti, 1998.

8. 2 Seminar/lab activities
Computing and interpreting the risk and return of
individual financial assets
Computing and interpreting the risk and return of
financial assets portfolios
Employing Markowitz and Sharpe models for
selecting efficient portfolios
Employing CAPM and multifactorial models for
financial assets valuation
Compare underlying assumptions and conclusions of
the CAPM and APT model, and explain why an
investor can possibly earn a substantial premium for
exposure to dimensions of risk unrelated to market
movements.
Establishing under/overvaluation of financial assets
according to CAPM
Measurement Methods of Portfolio Management
Performance; Alternative Investments Management
Strategies
Applying measures of risk in understanding overall
portfolio risk: VaR for individual assets and portfolios
Bibliography:

Teaching
methods

Remarks

Case studies.

Interactive seminar.

Case studies.

Interactive seminar.

Case studies.

Interactive seminar.

Case studies.

Interactive seminar.

Case studies.

Interactive seminar.

Case studies.

Interactive seminar.

Case studies.

Interactive seminar.

John L. Maginn (Editor), Donald L. Tuttle (Editor), Dennis W. McLeavey (Editor), Jerald
E. Pinto (Editor), Managing Investment Portfolios: A Dynamic Process, 3rd Edition, 2007

Michael G. McMillan, CFA, Jerald E. Pinto, Wendy Pirie, CFA, Gerhard Van de Venter,
CFA, Lawrence E. Kochard, CFA (Foreword by), Investments: Principles of Portfolio and
Equity Analysis, 2011

Jerald E. Pinto, Elaine Henry, CFA, Thomas R. Robinson, John D. Stowe, CFA, Abby
Cohen, CFA (Foreword by), Equity Asset Valuation, 2nd Edition, 2010

Bodie Z., Kane A., Marcus A., Investments, 6th edition, McGraw-Hill/Irwin, 2005

Maginn, J. L. et al., Managing Investment Portfolios: A Dynamic Process, Wiley, 2007

Solnik, McLeavey, Global Investments, 6th ed., Addison-Wesley, 2008

Stancu, I., Stancu Dumitra, Corporate Finance with Excel, Ed Economic, Bucureti, 2010

Scientific papers and study cases related to the subject of the course.

9. Corroborating the content of the discipline with the expectations of the epistemic
community, professional associations and relevant employers
The syllabus of the course is discussed with experts from CFA Romnia (Chartered Financial
Analyst), as well as with specialists and representatives of notable companies in the field of
financial markets, investment management, private banking, investment brokerage, etc.
10. Evaluation
Type of activity

10.1 Evaluation criteria

Minimum 80% attendance
at scheduled activities.
Involvement in the lecture
with comments, questions
and examples.

10.4 Course

Minimum 80% attendance

at scheduled activities.
10.5 Seminar/lab
Involvement in the lecture
activities
with comments, questions
and examples
10.5 Minimum performance standard

10.2 Evaluation methods

10.3 Share in
the final
grade (%)

Final exam (project

presentation)

50%

Final exam (project

presentation)

50%

Elaborating a project for selecting efficient portfolios

Date of syllabus
proposal

Signature of the professor for the

course,

Signature of the professor for the

seminar,

10.09.2013

Prof. univ. dr. Ion Stancu

Prof. univ. dr. Ion Stancu

Date of the approval in the

department

Signature of the Head of the department,

12.09.2013

Conf. univ. dr. Lucian Ttu