Modules
Liste aller Module
An dieser Stelle gibt es eine alphabetische Liste aller Module. Einzelne Modulnamen können "doppelt" erscheinen, da gleichlautende aber unterschiedliche Module in unterschiedlichen Studiengängen Verwendung finden. Dies geschieht bspw. durch Vorgaben der Akkreditierungsagenturen oder bei sehr unspezifischen Modulen wie Abschlussarbeiten. In dem Fall finden Sie das richtige Modul eventuell schneller wenn Sie über den Anbieter suchen.
Module
Module (6 Credits)
Portfolio Management
- 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
- Elements
Lecture (3 Credits)
Portfolio Management
- Name in diploma supplement
- Portfolio Management
- Organisational Unit
- Lecturers
- SPW
- 2
- Language
- English
- Cycle
- irregular
- 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
Exercise (3 Credits)
Portfolio Management
- Name in diploma supplement
- Portfolio Management
- Organisational Unit
- Lecturers
- SPW
- 2
- Language
- English
- Cycle
- irregular
- Participants at most
- no limit
- Preliminary knowledge
See Lecture
- Contents
See Lecture
- Literature
See Lecture
- Teaching concept
See Lecture
- Participants