Portfolio Management

Name in diploma supplementPortfolio Management
Organisational Unit Juniorprofessur für Umweltökonomik, insb. Ökonomik erneuerbarer Energien (https://www.uee.wiwi.uni-due.de/)
LecturersJun.-Prof. Dr. Florian Ziel
Cyclesummer semesterParticipants at mostno limit

Preliminary knowledge

matrix algebra and multivariate statistics (esp. multivariate normal distribution)


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.


  • 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


  • 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.


  • BWL EaF Master 2015>Wahlpflichtbereich >Modul "Portfolio Management"1st-3rd Semester, Elective
  • ECMX Master 2019>Wahlpflichtbereich >Bereich Economics >Modul "Portfolio Management"1st-3rd Semester, Elective
  • GOEMIK Master 2016>Wahlpflichtbereich >Bereich Betriebswirtschaftslehre >Modul "Portfolio Management"1st-3rd Semester, Elective
  • MuU Master 2013>Wahlpflichtbereich III >Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive >Modul "Portfolio Management"1st-3rd Semester, Elective
  • VWL Master 2009-V2013>Wahlpflichtbereich II >Modul "Portfolio Management"1st-3rd Semester, Elective
WIWI‑C1127 - Lecture: Portfolio Management