Portfolio Management and Performance Valuation

Quantitative Methods Applied to Finance

Fundamentals of Portfolio Management

The teaching of the curricular unit is based on recent research materials and on the research experience gained. The pedagogy of the course is strongly interactive. It seeks substantial student participation and know-how-based learning. Teaching methods include group discussion of research work and the elaboration of a practical work using real data (SABI, Amadeus, Bankscope) and research methodologies learned throughout the course and UC. Emphasis is placed on helping students relate concepts, ideas and theories to the practice of applied research.

The main objectives:

Familiarize the student with the practical aspects associated with the definition of investment objectives for various
risk profiles and the respective strategies leading to the achievement of such objectives. Present the
main methodologies for evaluating the performance of a securities portfolio and the respective manager.

Upon completion of the course, the student should be able to:

Understand the essential practical aspects of managing a securities portfolio;
Evaluate the performance of a securities portfolio and its respective manager.
Prepare a practical work on aspects dealt with in the curricular unit
Develop a scientific work using methods and techniques already covered in other curricular units, namely in Quantitative Methods Applied to Finance.

I. INTRODUCTION
Return, risk and diversification: definition, measures and regression
Portfolio Theory: The Markowitz Model
Capital Asset Pricing Model (CAPM).
The market model
II. PORTFOLIO MANAGEMENT
Creation of portfolios.
Asset mix: Asset classes (expected return, variability and correlation)
Asset Allocation, portfolio diversification and appropriate benchmark.
Passive and active management of portfolios (style management)
Stock selection (upside and downside) and market movement trends (market timing)
Tracking Portfolio and exploiting anomalies
Multifactor models: factor betas in a multifactor model
III. PORTFOLIO PERFORMANCE ASSESSMENT
Calculation of portfolio profitability:
IRR – internal rate of return
Time-weighted and money-weighted
Sharpe, Treynor and Jensen measurements
Portfolio risk adjustment
benchmarks
Presentation of performance standards
Performance diagnostics and attribution.

NAO

Allen, S. L. (2012). Financial risk management: a practitioner’s guide to managing market and credit risk (Vol. 721). John Wiley & Sons.

Bacon, C. R. (2011). Practical portfolio performance measurement and attribution (Vol. 568). John Wiley & Sons.

Bodie, Z., Kane, A., and Marcus, A. J. (2014). Investments, 10e. McGraw-Hill Education.

Edwards, R. D., Magee, J., & Bassetti, W. C. (2018). Technical analysis of stock trends. CRC press.

Elton, E. J., Gruber, M. J., Brown, S. J. And Goetzmann, W. N. (2010), Modern Portfolio Theory and Investment Analysis, 8th edition, John Wiley & Sons

Neves E e Quelhas A. P (2013), Carteiras de Investimento, Gestão e avaliação do desempenho

 Papers:

Lista de artigos a selecionar para elaboração de ficha de leitura

Ano letivo 2023_2024

1. 1. Ahmad, M. M., Hunjra, A. I., Islam, F., & Zureigat, Q. (2023). Does asymmetric information affect firm’s financing decisions?. International Journal of Emerging Markets, 18(9), 2718-2734.
   2. Almaqtari, F. A., Elsheikh, T., Hashim, H. A., & Youssef, M. A. E. A. (2023). Board attributes and environmental and sustainability performance: Moderating role of environmental teams in Asia and Europe. Sustainable Futures, 100149.
   3. Asl, M. G., Rashidi, M. M., Tiwari, A. K., Lee, C. C., & Roubaud, D. (2023). Green bond vs. Islamic bond: Which one is more environmentally friendly?. Journal of Environmental Management, 345, 118580.
   4. Borah, P. S., Iqbal, S., & Akhtar, S. (2022). Linking social media usage and SME’s sustainable performance: The role of digital leadership and innovation capabilities. Technology in Society, 68, 101900.
   5. Ciciretti, R., Dalò, A., & Ferri, G. (2023). Dissecting the European ESG Premium vs the US: Is It All About Non-financial Reporting?. In Creating Value and Improving Financial Performance: Inclusive Finance and the ESG Premium (pp. 27-57). Cham: Springer International Publishing.
   6. D’Angelo, V., Cappa, F., & Peruffo, E. (2023). Green manufacturing for sustainable development: The positive effects of green activities, green investments, and non‐green products on economic performance. Business Strategy and the Environment, 32(4), 1900-1913.
   7. Islam, M. T., Saha, S., & Rahman, M. (2023). Diversity–performance nexus in an emerging economy: an investigation of family and non-family firms. International Journal of Emerging Markets.
   8. Khan, S., & Haneklaus, N. (2023). Sustainable economic development across globe: The dynamics between technology, digital trade and economic performance. Technology in Society, 72, 102207.
   9. Lizarelli, F. L., Chakraborty, A., Antony, J., Jayaraman, R., Carneiro, M. B., & Furterer, S. (2023). Lean and its impact on sustainability performance in service companies: results from a pilot study. The TQM Journal, 35(3), 698-718.
   10. Madanaguli, A., Srivastava, S., Ferraris, A., & Dhir, A. (2022). Corporate social responsibility and sustainability in the tourism sector: A systematic literature review and future outlook. Sustainable Development, 30(3), 447-461.
   11. Moneva, J. M., Scarpellini, S., Aranda‐Usón, A., & Alvarez Etxeberria, I. (2023). Sustainability reporting in view of the European sustainable finance taxonomy: Is the financial sector ready to disclose circular economy?. Corporate Social Responsibility and Environmental Management, 30(3), 1336-1347.
   12. Rahi, A. F., Chowdhury, M. A. F., Johansson, J., & Blomkvist, M. (2023). Nexus between institutional quality and corporate sustainable performance: European evidence. Journal of Cleaner Production, 382, 135188.
   13. Sandberg, H., Alnoor, A., & Tiberius, V. (2023). Environmental, social, and governance ratings and financial performance: Evidence from the European food industry. Business Strategy and the Environment, 32(4), 2471-2489.
   14. Shang, Y., Qi, P., Chen, H., Yang, Q., & Chen, Y. (2023). COVID-19 and its impact on tourism sectors: implications for green economic recovery. Economic Change and Restructuring, 56(2), 941-958.
   15. Spada, A., Fiore, M., & Galati, A. (2023). The Impact of Education and Culture on Poverty Reduction: Evidence from Panel Data of European Countries. Social Indicators Research, 1-14.
   16. Sun, G., Li, G., Dilanchiev, A., & Kazimova, A. (2023). Promotion of green financing: Role of renewable energy and energy transition in China. Renewable Energy, 210, 769-775.
   17. Taha, R., Al-Omush, A., & Al-Nimer, M. (2023). Corporate sustainability performance and profitability: The moderating role of liquidity and stock price volatility-evidence from Jordan. Cogent Business & Management, 10(1), 2162685.
   18. Tarkom, A., & Ujah, N. U. (2023). Inflation, interest rate, and firm efficiency: The impact of policy uncertainty. Journal of International Money and Finance, 131, 102799.
   19. Yilmaz, M. K., Hacioglu, U., Tatoglu, E., Aksoy, M., & Duran, S. (2023). Measuring the impact of board gender and cultural diversity on corporate governance and social performance: evidence from emerging markets. Economic Research-Ekonomska Istraživanja, 36(2), 2106503.
   20. Zheng, M., Feng, G. F., Jiang, R. A., & Chang, C. P. (2022). Does environmental, social, and governance performance move together with corporate green innovation in China?. Business Strategy and the Environment.