Veranstaltungen
Vorlesung
Portfolio Management
- Name im Diploma Supplement
- Portfolio Management
- Anbieter
- Lehrstuhl für Data Science in Energy and Environment
- Lehrperson
- Prof. Dr. Florian Ziel
- SWS
- 2
- Sprache
- englisch
- Turnus
- unregelmäßig
- maximale Hörerschaft
- unbeschränkt
- Hörerschaft
empfohlenes Vorwissen
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.
Lehrinhalte
- 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
Literaturangaben
- 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.
didaktisches Konzept
The students study portfolio management theory in the lecture. They discuss and apply the theory in tutorials.