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-EaF-Ma-2015 > Wahlpflichtbereich > (1st-3rd Semester, Elective) Modul "Portfolio Management"
• ECMX-Ma-2019 > Wahlpflichtbereich > ME5 Economics > (1st-3rd Semester, Elective) Modul "Portfolio Management"
• GOEMIK-Ma-2016 > Wahlpflichtbereich > Bereich Betriebswirtschaftslehre > (1st-3rd Semester, Elective) Modul "Portfolio Management"
• MuU-Ma-2013 > Wahlpflichtbereich III > Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive > (1st-3rd Semester, Elective) Modul "Portfolio Management"
• VWL-Ma-2009-V2013 > Wahlpflichtbereich II > (1st-3rd Semester, Elective) Modul "Portfolio Management"