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Module (major changes) (6 Credits)

Portfolio Management

Announcement for changes in the module

Modul / Veranstaltungen fallen im Sommersemester 2019 einmalig aus.

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
  • BWL-EaF-Ma-2015 Wahlpflichtbereich 1st-3rd Sem, Elective
  • ECMX-Ma-2019 Wahlpflichtbereich Bereich Economics 1st-3rd Sem, Elective
  • GOEMIK-Ma-2016 Wahlpflichtbereich Bereich Betriebswirtschaftslehre 1st-3rd Sem, Elective
  • MuU-Ma-2013 Wahlpflichtbereich III Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive 1st-3rd Sem, Elective
  • VWL-Ma-2009-V2013 Wahlpflichtbereich II 1st-3rd Sem, Elective
Elements
Name in diploma supplement
Portfolio Management
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
summer semester
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-EaF-Ma-2015 Wahlpflichtbereich Modul "Portfolio Management" 1st-3rd Sem, Elective
  • ECMX-Ma-2019 Wahlpflichtbereich Bereich Economics Modul "Portfolio Management" 1st-3rd Sem, Elective
  • GOEMIK-Ma-2016 Wahlpflichtbereich Bereich Betriebswirtschaftslehre Modul "Portfolio Management" 1st-3rd Sem, Elective
  • MuU-Ma-2013 Wahlpflichtbereich III Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive Modul "Portfolio Management" 1st-3rd Sem, Elective
  • VWL-Ma-2009-V2013 Wahlpflichtbereich II Modul "Portfolio Management" 1st-3rd Sem, Elective
Lecture: Portfolio Management (WIWI‑C1127)
Name in diploma supplement
Portfolio Management
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
summer semester
Participants at most
no limit
Preliminary knowledge

See Lecture

Contents

See Lecture

Literature

See Lecture

Teaching concept

See Lecture

Participants
  • BWL-EaF-Ma-2015 Wahlpflichtbereich Modul "Portfolio Management" 1st-3rd Sem, Elective
  • ECMX-Ma-2019 Wahlpflichtbereich Bereich Economics Modul "Portfolio Management" 1st-3rd Sem, Elective
  • GOEMIK-Ma-2016 Wahlpflichtbereich Bereich Betriebswirtschaftslehre Modul "Portfolio Management" 1st-3rd Sem, Elective
  • MuU-Ma-2013 Wahlpflichtbereich III Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive Modul "Portfolio Management" 1st-3rd Sem, Elective
  • VWL-Ma-2009-V2013 Wahlpflichtbereich II Modul "Portfolio Management" 1st-3rd Sem, Elective
Exercise: Portfolio Management (WIWI‑C1128)
Module: Portfolio Management (WIWI‑M0880)