Bank Management

Asset Management

Integrated course, 3.00 ECTS


Course content

This course offers a detailed discussion of results of classical portfolio theory and their extensions. Risk and performance measures are discussed, as well as investment and long-term saving decision-making.

The core contents of this course include:
[1] Decision making under uncertainty; utility theory;
[2] Markowitz portfolio theory;
[3] CAPM and its extensions;
[4] Risk-adjusted performance measures;
[5] Passive vs. active portfolio management: index tracking, constant mix, CPPI;
[6] Life cycle investment theory.
Optional contents can include:
[6] Stochastic dependence and portfolio optimisation; correlation vs. dependence; copulas.

This course may be taught in English.

Learning outcomes

Graduates are familiar with the basic content of classical portfolio theory, risk-adjusted performance measurement and understand the functions and risks of common dynamic portfolio strategies.
The students have thus acquired extended professional competence in relation to established methods of asset allocation, which are applied in asset liability management, in understanding risk portfolios and in asset management.

Recommended or required reading and other learning resources / tools

References: Althoff (2012): Einführung in die internationale Rechnungslegung: Die einzelnen IAS/IFRS, Gabler. Coenenberg et al (2012): Jahresabschluss und Jahresabschlussanalyse, Schäffer-Poeschel. Küting et al (2010): Der Konzernabschluss, Schäffer-Poeschel. Pellens et al (2011): Internationale Rechnungslegung, Schäffer-Poeschel. PWC (2012): IFRS für Banken: Band I und II, pwc. Rockel et al (2012): Versicherungsbilanzen, Schäffer-Poeschel. Werner/Padberg (2006): Bankbilanzanalyse, Schäffer-Poeschel. Zielke (2005): IFRS für Versicherungen, Gabler.

Mode of delivery


Prerequisites and co-requisites


Assessment methods and criteria

ILV: final exam, assessment of active course participation