Integrated course, 3.00 ECTS
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:
 Decision making under uncertainty; utility theory;
 Markowitz portfolio theory;
 CAPM and its extensions;
 Risk-adjusted performance measures;
 Passive vs. active portfolio management: index tracking, constant mix, CPPI;
 Life cycle investment theory.
Optional contents can include:
 Stochastic dependence and portfolio optimisation; correlation vs. dependence; copulas.
This course may be taught in English.
Successful participants in this module are able to apply stochastic techniques to the assessment of financial and business risks. They understand the concepts of classical portfolio theory and risk-adjusted performance measurement, and they are aware of the advantages and potential shortcomings of commonly used dynamic asset-allocation strategies.
Post completion of this module, students have competence in quantitative methods, which is fundamental for describing and measuring risk in the context of managing product portfolios and selecting value-maximising corporate strategies. The can also apply established asset allocation methods which can be incorporated in asset-liability management, portfolio risk management and wealth management.
Recommended or required reading and other learning resources / tools
References: Albrecht/Maurer (2008): Investment- und Risikomanagement, Schaefer-Poeschel. Bessler et al (2013): Asset Management and International Capital Markets, Routledge. Fabozzi (ed., 2011): The Theory and Practice of Investment Management: Asset Allocation, Valuation, Portfolio Construction, and Strategies, Wiley. Franke et al (2010): Statistics of Financial Markets: An Introduction, Springer. Hull (2012): Risk Management and Financial Institutions, Wiley. McNeil et al (2005): Quantitative Risk Management.
Academic journals: Financial Markets and Portfolio Management, Journal of Asset Management.
Mode of delivery
3 ECTS: ILV
Prerequisites and co-requisites
Assessment methods and criteria
ILV: final exam, assessment of active course participation