مخطط الموضوع

  • عام

    طي الكل توسيع الكل
    • اسم المادة: إدارة المحافظ المالية صفحة

      أستاذ المقياس:  د. مغنية هواري أستاذ محاضر أ

      قسم العلوم التجارية

      كلية العلوم الاقتصادية و العلوم التجارية و علوم التسيير

      جامعة  د مولاي طاهر - سعيدة -

      عنوان الماستر: مالية

      السداسي: الثاني

      اسم الوحدة: وحدة تعليم أساسية

      الرمز: وت أس 2.1

      اسم المادة: إدارة المحافظ المالية

      الرصيد: 05   

      المعامل: 02

      نمط التعليم: حضوري

       

      أهداف التعليم:

      تهدف هذه المادة التعليمية إلى تمكين الطالب من التعرف على جانب أساسي من المالية الكمية من خلال الاعتماد على الرياضيات والإحصاء في حساب العائد والخطر والقيمة، إضافة إلى الإلمام بمختلف استراتيجيات بناء وإدارة المحافظ المالية وتقييم أدائها.

      المعارف المسبقة المطلوبة :

       تتطلب المواصلة في التعلم امتلاك الطالب لمكتسبات معرفية في كل من الإحصاء، رياضيات مالية، مالية المؤسسة، الأسواق المالية، النظرية المالية.

      محتوى المادة:

      -           أساسيات حول المحفظة المالية: التعريف، المكونات، الأهداف، التنويع.

      -           حساب العائد والخطر للمحفظة المالية: محفظة مكونة من أصلين ماليين، محفظة مكونة منN أصل مالي (مع الأخذ بعين الاعتبار للأصل الخالي من الخطر).

      -           الحد الكفء (المحافظ الكفؤة/ السيادة)، تحديد المحفظة المالية المثلى: منحنيات المنفعة وخط السوقCML  (الأخذ بعين الاعتبار للأصل الخالي من الخطر).

      -           نموذج تسعير الأصول الرأسمالية CAPM / SML: مناقشة فرضيات Markowitz، فرضية إمكانية الإقراض والاقتراض، اشتقاق صيغة النموذج، الاستخدامات.

      -           نماذج أخرى لتحليل العلاقة بين العائد والخطر: نظرية التسعير بالمراجحة APT، نموذج العوامل الثلاث French-Famma..

      -           الاستراتيجيات الساكنة والنشيطة لبناء وإدارة محافظ الأسهم ومحافظ السندات: الانتقاء، التوقيت، إعادة التخصيص، الشراء والاحتفاظ، الإدارة المؤشرية، التحصين؛ والاستراتيجيات القائمة على تغير معدل الفائدة، شكل انتقال المعدل، فروقات المعدل بين القطاعات، خصائص السندات.

      -           تقييم / قياس أداء المحافظ المالية: مفهوم الأداء، الأداء المقارن (المرجعي)، نموذج Sharpe، نموذج Treynor، نموذج Jensen، نماذج حديثة مشتقة.

      -           دراسات حالة حول أداء الصناديق الاستثمارية.

      طريقة التقييم: تقيم مستمر + امتحان نهائي ويقاس معدل المادة بالوزن الترجيحي للدروس(60%) والأعمال الموجهة (40%)

      Content: 14 Lectures

      Unit 1: Basic Concepts of the Financial Portfolio (3 Lectures)

      • Lecture 1: Introduction to the Financial Portfolio:

        • Definition of a financial portfolio and its importance for investors.
        • Objectives of creating a financial portfolio (increasing return, reducing risk, achieving specific investment goals).
        • Types of financial portfolios (equity portfolios, bond portfolios, mixed portfolios, real estate portfolios, etc.).
        • Components of a financial portfolio (different financial assets).

      • Lecture 2: Diversification in the Financial Portfolio:

        • Concept of diversification and its importance in reducing risk.
        • Types of diversification (diversification across asset classes, diversification within a single asset class, geographical diversification).
        • The relationship between diversification and the reduction of systematic and unsystematic risk.
        • Applied examples of how to build a diversified portfolio.

      • Lecture 3: Return and Risk:

        • Concept of expected return and actual return.
        • Measuring return (absolute return, relative return).
        • Concept of risk and its types (market risk, credit risk, liquidity risk, operational risk, etc.).
        • Measuring risk (standard deviation, variance, beta coefficient).

      Unit 2: Calculating Portfolio Return and Risk (2 Lectures)

      Unit 3: Efficient Portfolios and the CAPM Model (3 Lectures)

      • Lecture 6: The Efficient Frontier and Efficient Portfolios:

        • Concept of the Efficient Frontier.
        • Identifying efficient portfolios that achieve the highest return for a given level of risk or the lowest risk for a given level of return.
        • Utility curves and their impact on optimal portfolio selection.
        • The Capital Market Line (CML) and its relationship with efficient portfolios and the risk-free asset.

      • Lecture 7: Capital Asset Pricing Model CAPM – Part I:

        • Introduction to the CAPM model and its importance.
        • Discussion of the Markowitz assumptions upon which the model is based.
        • Assumption of the possibility of lending and borrowing at a risk-free interest rate.

      • Lecture 8: Capital Asset Pricing Model CAPM – Part II:

        • Derivation of the CAPM formula.
        • Explanation of the Security Market Line (SML).
        • Uses of the CAPM model in asset valuation and investment decision-making.
        • Criticisms directed at the CAPM model.

      Unit 4: Other Models and Portfolio Management Strategies (2 Lectures)

      • Lecture 9: Other Models for Analyzing the Relationship Between Return and Risk:

        • Arbitrage Pricing Theory (APT): explaining the concept and the difference from CAPM.
        • Fama-French Three-Factor Model: explaining the additional factors that the model takes into account.
        • Comparison between different models and the advantages and disadvantages of each model.

      • Lecture 10: Portfolio Building and Management Strategies:

        • Passive strategies (buy and hold, index management).
        • Active strategies (stock selection, market timing, asset reallocation).
        • Bond portfolio management strategies (immunization, strategies based on interest rate changes).

      Unit 5: Portfolio Performance Evaluation and Case Studies (2 Lectures)

      • Lecture 11: Evaluating / Measuring Financial Portfolio Performance:

        • Concept of portfolio performance and its importance.
        • Comparative performance (benchmarking).
        • Performance measurement models: Sharpe ratio, Treynor ratio, Jensen's alpha.
        • Modern derivative models for performance measurement.

      • Lecture 12: Case Studies on the Performance of Investment Funds:

        • Analyzing the performance of real investment funds using the studied models.
        • Discussing the factors that affect the performance of investment funds.
        • Drawing lessons learned from the case studies.

      This analysis provides a comprehensive and logical distribution of the content over 14 lectures, focusing on theoretical and applied aspects, and linking them to practical reality through case studies.

       

      المراجع:

      -         Copeland, T. E. ; Weston, J. F. & Shastri, K. (2003). Financial theory and corporate policy: 4 ed, Pearson Education, London.

      -         Bodie, Z. ; Kane, A. & Marcus, A. (2019). Essentials of Investments : 11 edition, McGraw-Hill eBook.

      -         Portait, R. et Poncet, P. (2012). Finance de marché, instruments de base, produits dérivés, portefeuilles et risques : 3e édition, Dalloz, Paris.

      -         De La Bruslerie, H. (2006). Gestion obligataire, Tome 2 (Rentabilité, stratégie et contrôle) : 2e édition, Economica, Paris.

      -         Sulzer, J-R. et Adéléké, S. (2006). Finance à long terme, théories, calculs et exercice corrigées : 3e édition, Economica, Paris.

      -         Leutenngger, M-A. (2010). Gestion de portefeuille et théorie des marches financiers : Economica, 3e édition, Paris.

      -         Grandin, P. Hubner, G. et Lambert, M. (2006). Performance de portefeuille, édition Pearson,
      France.

      -         Dubois, M. et Girerd-Potin, I. (2001). Exercices de théorie financière et de gestion de
      portefeuille : édition DeBoeck, Bruxelles.

       

    • Annonces منتدى
    • Student preoccupations محادثة
    • Basic Concepts Test:01 إختبار
      مفتوح: الثلاثاء، 4 مارس 2025، 8:00 AM
      مغلق: الاثنين، 10 مارس 2025، 11:59 PM
    • Students' concerns and interests before the exam منتدى
    • فرض الكتروني واجب
      فتحت: الأربعاء، 23 أبريل 2025، 12:00 AM
      تستحق: الأربعاء، 30 أبريل 2025، 12:00 AM
    • http://www.youtube.com/watch?v=8TJQhQ2GZ0Y صفحة

  • نموذج تصحيح امتحان إدارة المحافظ المالية2025

  • Lecture 1: Introduction to Financial Portfolios

    • Lecture 1: Introduction to Financial Portfolios صفحة

       Lecture 1: Introduction to Financial Portfolio:

      • Definition of a financial portfolio and its importance to investors.
      • Objectives of creating a financial portfolio (increasing return, reducing risk, achieving specific investment goals).
      • Types of financial portfolios (stock portfolios, bond portfolios, mixed portfolios, real estate portfolios, etc.)
      • Components of a financial portfolio (different financial assets).

      Objectives: Introduction to Financial Portfolios

      • Define a financial portfolio as a collection of assets like stocks, bonds, and real estate aimed at balancing risk and return.
      • Highlight the importance of diversification, risk management, and liquidity in portfolio construction.
      • Understand how portfolios help optimize returns, reduce risks, and achieve specific financial goals.
      • Explore different portfolio types, including equity, bond, mixed, and alternative portfolios.
      • Identify key components such as stocks, bonds, mutual funds, ETFs, real estate, and commodities.
      • Learn to tailor portfolios based on investor goals, risk tolerance, and time horizon.
      • Apply knowledge to design basic portfolios and evaluate asset allocations for various investment objectives.
    • Investment and Portfolio Management تعليق PDF
    • Forum à Lecture 1 منتدى
    • Chat à Lecture 1: Introduction to Financial Portfolios محادثة

  • Lecture 2: Diversification in the Financial Portfolio

  • Lecture 3: Return and Risk

    • Lecture 3: Return and Risk صفحة

      Lecture 3: Return and Risk:

      • Concept of expected return and actual return.
      • Measuring return (absolute return, relative return).
      • Concept of risk and its types (market risk, credit risk, liquidity risk, operational risk, etc.).
      • Measuring risk (standard deviation, variance, beta coefficient).
    • Forum à Lecture 3: Return and Risk منتدى

  • Lecture 4: Calculating Return and Risk for a Portfolio Composed of Two Financial Assets:

  • Lecture 5: Calculating Return and Risk for a Portfolio Composed of N Financial Assets:

  • Lecture 6: The Efficient Frontier and Efficient Portfolios

  • Lecture 7: Capital Asset Pricing Model (CAPM) – Part 1

  • Lecture 8: Capital Asset Pricing Model CAPM – Part II

  • Lecture 9: Other Models for Analyzing the Relationship Between Return and Risk

    • Lecture 9: Other Models for Analyzing the Relationship Between Return and Risk صفحة
      Lecture 9: Other Models for Analyzing the Relationship Between Return and Risk:
      • Arbitrage Pricing Theory (APT): explaining the concept and the difference from CAPM.
      • Fama-French Three-Factor Model: explaining the additional factors that the model takes into account.
      • Comparison between different models and the advantages and disadvantages of each model

  • Lecture 10: Strategies for Building and Managing Portfolios

    • Lecture 10: Strategies for Building and Managing Portfolios صفحة

      Lecture 10: Portfolio Construction and Management Strategies:

      • Static Strategies (Buy and Hold, Indexing).
      • Active Strategies (Selection, Timing, Reallocation).
      • Bond Portfolio Management Strategies (Immunization, Interest Rate Change-Based Strategies).

  • Lecture 11: Evaluation / Measurement of Financial Portfolio Performance:

  • Lecture 12: Case Studies on Investment Fund Performance

  • Lecture 13:How does an investor's risk tolerance level affect portfolio composition?

    • Lecture 13:How does an investor's risk tolerance level affect portfolio صفحة

       

      Objectives of Lecture 13:: "How Do Interest Rates and Inflation Affect the Performance of Financial Portfolios?"

      1. Understanding the Relationship Between Interest Rates and Asset Performance :

        • Explaining how rising or falling interest rates impact bonds, stocks, cash, and real estate.
        • Understanding the inverse relationship between interest rates and bond prices and how to manage bond risks in a changing interest rate environment.

      2. Analyzing the Impact of Inflation on Financial Portfolios :

        • Learning how inflation erodes the purchasing power of cash and fixed-income assets like bonds.
        • Studying how certain sectors (e.g., consumer staples) benefit from inflation while others (e.g., high-fixed-cost industries) may suffer.

      3. Understanding the Combined Interaction of Interest Rates and Inflation :

        • Explaining how high inflation often leads to rising interest rates and the resulting implications for investment portfolios.
        • Understanding how these dynamics affect the broader economy and the performance of various asset classes.

      4. Strategies for Managing Portfolios in Different Interest Rate and Inflation Environments :

        • Providing practical strategies for managing portfolios during periods of rising interest rates (e.g., increasing allocation to short-term bonds and reducing exposure to interest-sensitive stocks).
        • Offering strategies for high-inflation environments (e.g., investing in inflation-linked bonds, real estate, and commodities).

      5. Developing Skills for Making Investment Decisions Based on Economic Conditions :

        • Enabling investors to make informed decisions about reallocating assets based on changing economic conditions.
        • Highlighting the importance of diversification and rebalancing as key tools for adapting to changes in interest rates and inflation.

      6. Applying Practical Examples to Financial Portfolios :

        • Providing real-world examples of asset allocation in conservative (low-risk) versus aggressive (high-risk) portfolios under different economic conditions.
        • Explaining how to use tools like inflation-linked bonds and real estate as hedges against high-inflation environments.
       

      Key Benefits Learners Gain from This Lesson

      • Enhanced Macroeconomic Knowledge : Understanding how major economic factors (such as interest rates and inflation) influence investment decisions.
      • Improved Risk Management : Learning how to protect portfolios from the negative impacts of inflation and rising interest rates.
      • Increased Adaptability : Empowering investors to adapt to changing economic conditions to achieve more stable and sustainable returns.
    • The Role of Risk Forecast and Risk Tolerance in Portfolio Management: A Case Study of the Chinese Financial Sector تعليق PDF