SingleView of Module
Module (6 Credits)
Portfolio Management
- Name in diploma supplement
- Portfolio Management
- Responsible
- 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
- Elements
Lecture (3 Credits)
Portfolio Management
- Name in diploma supplement
- Portfolio Management
- Organisational Unit
- Lecturers
- 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
Exercise (3 Credits)
Portfolio Management
- Name in diploma supplement
- Portfolio Management
- Organisational Unit
- Lecturers
- 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