SEMINAR DESCRIPTION

 

Supervisor’s name and surname:  Jerzy Marcinkowski

Faculty:  Informatics and Electronic Economy

Department: Operations Research

Email address: j.marcinkowski@ue.poznan.pl

Office hours:  Wed., 17.30 - 19.30

 

Description of the seminar:

The program covers construction, assessment and comparison of investment strategies in the financial markets. It concentrates on measurement of investment performance, creation of investment portfolios, comparison of investment strategies, portfolio management in the case of selected types of investors, behavioral investing

 

Example potential topics of the thesis:

 

·         Assessment of investment risk associated with investing in selected financial instruments

·         Mitigating risk thorough sequential investments

·         Assessment of stability of selected investment strategies.

·         Impact of short selling on investment risk

·         Stability of correlation coefficients of  quotations: impact on investment risk

·         Impact of common behavioral biases experienced by individuals on investment strategies

 

Examples of real thesis:

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Selected publications in English:

1.       Campbell J. Y., Lo A.W., MacKinlay A.C.: The Econometrics of Financial Markets, Princeton University Press 1996.

2.       Jorion P., Financial Risk Manager. Handbook. Wiley, New York, 2003.

3.       Reilly F., Brown K.: Investment Analysis and Portfolio Management, 7th edition, 2002..

 

4.       Fama, E. and French, K., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.

5.       Barberis, N. and Huang, M., 2008. Stocks as lotteries: The implications of probability weighting for security prices. American Economic Review, 98 (5), 2066-2100.