School of Economics & Business in Sarajevo

(SEBS)

Syllabus
PORTFOLIO MANAGEMENT
MAN 320
Level: First cycle
Year: III Semester: V
ECTS credits: 5

Instructors:

Azra Zaimović, Ph.D., Associate Professor

Office: 57 a/III
E‐mail: azra.zaimovic@efsa.unsa.ba
Office hours: Mondays, 11.00-12.00 AM

Aim of the Course

To introduce the students with review of basic concepts and techniques used for creation of portfolio of
securities and for their analysis, measuring, management and control.

Learning Outcomes

Students will master basic concepts and techniques used for creation of portfolio of securities and will
be competent to measure and manage their risks. They will be able to understand and interpret basic
return models and they will be able to implement various types of active and/or passive strategies of
investment.

Literature

Modern Portfolio Theory and Investment Analysis, Elton E., Gruber M., Brown S., Goetzmann W., John
Wiley & Sons, Inc. eight ed., 2010

1
 Course Schedule

Week Topics Book

I Introduction Ch 1
II Financial Securities Ch 2
III Financial Markets Ch 3
IV The Characteristics of the Opportunity Set under Risk – I Part Ch 4
V The Characteristics of the Opportunity Set under Risk – II Part Ch 4
VI Delineating Efficient Portfolios-I Part Ch 5
Exam 1: During the lectures (Ch 1, Ch 2, Ch 3 and Ch 4)
VII Delineating Efficient Portfolios-II Part Ch 5
VIII Exam Week
IX Techniques for Calculating the Efficient Frontier Ch 6
X The Correlation Structure of Security Returns- I Part Ch 7
XI The Correlation Structure of Security Returns- II Part Ch 7
XII The Standard Capital Asset Pricing Model Ch 13
XIII The Arbitrage Pricing Model APT-I Part Ch 16
XIV The Arbitrage Pricing Model APT-II Part Ch 16
Exam 2: During the lectures (Ch 5, Ch 6, Ch 7, Ch 13 and Ch 16 - I Part)
XV Study Week /
XVI Study Week /
XVII Exam /

Grading:
Exams 40%
Portfolio Project 10%
Stock Market Game 25%
Assignments 25%
Total 100%

Exams
There will be two exams during the semester. Each exam consists of multiple choice questions and
assignments. To pass the exams you have to achieve at least 55% of available points. You have to bring a
calculator with you to the exams. Once you achieve 55 points on exams, extra points, achieved on the
other activities, will be added.

Stock Market Game

Twenty-five percent of the grade is made up of the stock market game and its presentation. Detailed
guidelines will be presented during the lectures. Printed copy of the report, with accompanying
explanations of all investment decisions, as well as PowerPoint presentations should be submitted till
18.12. and the presentation are going to be done on lectures in the week 12.

2
Portfolio Project – Solver
By using software tool called Solver, each student will solve a portfolio optimization problem by using
actual data from world's stock exchanges. The aim is to learn how to determine a variance-minimizing
portfolio that yields a required expected return.

Beta Calculations
Twenty-five percent of the grade is made up of the beta calculation for actual companies. Detailed
guidelines will be presented during the lectures.

Grading Scale
To get a positive grade, it is necessary to pass the exams. To pass the exams you have to achieve at
least 55 points on five exams. Once you pass the exams, extra points, achieved on the other activities,
will be added.

95% and above: 10 (A)

85% - 94%: 9 (B)

75% - 84%: 8 (C)

65% - 74%: 7 (D)

55% - 64%: 6 (E)

Less than 55%: 5 (F)