Module (6 Credits)

Portfolio Management

Name in diploma supplement

Portfolio Management

Responsible

• Prof. Dr. Florian Ziel

Admission criteria

See exam regulations.

Workload

180 hours of student workload, in detail:

• Attendance: 60 hours
• Preparation, follow up: 90 hours
• Exam preparation: 30 hours

Duration

The module takes 1 semester(s).

Qualification Targets

Students

• have an advanced understanding in portfolio management
• study modern portfolio optimization methods that take uncertainty into account
• are able to apply the portfolio theory to real problems, especially in financial and commodity markets

Module Exam

The module-related examination is performed by a written exam (usually 90-120 minutes).

Usage in different degree programs

• BWL EaFWahlpflichtbereich1.-3. Sem, Elective
• ECMXWahlpflichtbereichME5 Economics1.-3. Sem, Elective
• GOEMIKWahlpflichtbereich Bereich Betriebswirtschaftslehre1.-3. Sem, Elective
• MuUWahlpflichtbereich IIIWahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive1.-3. Sem, Elective
• VWLWahlpflichtbereich II1.-3. Sem, Elective

Elements

Lecture (3 Credits)

Portfolio Management

Name in diploma supplement

Portfolio Management

Organisational Unit

• Lehrstuhl für Data Science in Energy and Environment

Lecturers

• Prof. Dr. Florian Ziel

SPW

2

Language

English

Cycle

irregular

Participants at most

no limit

Preliminary knowledge

matrix algebra and multivariate statistics (esp. multivariate normal distribution)

Abstract

The students study the general Markowitz portfolio theory on optimal portfolio selection with and without risk-free asset. They study problems in the application concerning estimation risk, like the Jobson-Korkie experiment and possible solutions. The theory is applied to problem in financial and commodity markets.

Contents

• Introduction to portfolio theory
• Markowitz portfolio theory without risk-free asset
• Markowitz portfolio theory with risk-free asset
• Estimation risk and Jobson-Korkie experiment
• Optimal portfolio allocation under parameter uncertainty

Literature

• Brandt, M. W. (2009). Portfolio choice problems. Handbook of financial econometrics, 1, 269-336.
• Kan, R., & Zhou, G. (2007). Optimal portfolio choice with parameter uncertainty. Journal of Financial and Quantitative Analysis, 42(3), 621-656.
• Tu, J., & Zhou, G. (2011). Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies. Journal of Financial Economics, 99(1), 204-215.

Teaching concept

The students study portfolio management theory in the lecture. They discuss and apply the theory in tutorials.

Participants

• BWL EaFWahlpflichtbereich1st-3rd Sem, ElectiveModul "Portfolio Management"
• ECMXWahlpflichtbereichME5 Economics1st-3rd Sem, ElectiveModul "Portfolio Management"
• GOEMIKWahlpflichtbereich Bereich Betriebswirtschaftslehre1st-3rd Sem, ElectiveModul "Portfolio Management"
• MuUWahlpflichtbereich IIIWahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive1st-3rd Sem, ElectiveModul "Portfolio Management"
• VWLWahlpflichtbereich II1st-3rd Sem, ElectiveModul "Portfolio Management"

Exercise (3 Credits)

Portfolio Management

Name in diploma supplement

Portfolio Management

Organisational Unit

• Lehrstuhl für Data Science in Energy and Environment

Lecturers

• wissenschaftliche Mitarbeiter(innen)

SPW

2

Language

English

Cycle

irregular

Participants at most

no limit

Preliminary knowledge

See Lecture

Contents

See Lecture

Literature

See Lecture

Teaching concept

See Lecture

Participants

• BWL EaFWahlpflichtbereich1.-3. Sem, ElectiveModul "Portfolio Management"
• ECMXWahlpflichtbereichME5 Economics1.-3. Sem, ElectiveModul "Portfolio Management"
• GOEMIKWahlpflichtbereich Bereich Betriebswirtschaftslehre1.-3. Sem, ElectiveModul "Portfolio Management"
• MuUWahlpflichtbereich IIIWahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive1.-3. Sem, ElectiveModul "Portfolio Management"
• VWLWahlpflichtbereich II1.-3. Sem, ElectiveModul "Portfolio Management"