Veranstaltungen
Lecture
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
- Participants
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.