# Financial Econometrics: Portfolio Analysis

**Lecture (Dr. Serkan Yener)**

Tuesday, 2 p.m. - 4 p.m, Amalienstr. 73A - 020

Lectures: October 15, 2013 until February 4, 2014

**Tutorial (Fabian Spanhel)**

Thursday, 6 p.m. - 8 p.m, Amalienstr. 73A - 020

Tutorials: October 17, 2013 until February 6, 2014 (no tutorial on January 9, 2014)

Lecture and tutorial in English.

**News:**

16.04.: The results for the resit exam are available - have a look at the seminar's notice-boards in front of the secretary's office.

**Resit Exam (6 ECTS):**

Date: 10.04..2014, 18:00-20:00.

Place: Seminarraum (Room 144), Ludwigstr. 33/I

Duration: 120 minutes

Registration: Please register for the examination and send the registration form to martina.brunner@stat.uni-muenchen.de with subject "registration exam portfolio analysis" by no later than April 3rd, 2014.

Auxiliary material: Calculator, handwritten formulary on 1 sheets (2 pages) of DIN A4 paper. Note that a formulary consists of formulas and is not supposed to be a transcription of the tutorial/lecture. Titles are allowed to a minor degree but text or some kind of shorthand is not permitted. The formulary must be handed in.

For identification issues, please bring along your student ID as well as your personal ID.

- 20.02: The results for the exam are available - have a look at the seminar's notice-boards in front of the secretary's office. On March 7, you can have a look at your exam from 10-11 a.m. Registration via spanhel@stat.uni-muenchen.de is required!
- 03.02: In the exercise sheet which is related to questions in the exam, the expected returns of the two assets in a) should be different. (Of course, it is possible to answer the question for the case of identical expected returns but then you can not apply the usual formula...)
- 20.01: Matlab course on Portfolio Analysis (
**highly recommended**) - 20.01: Student job offer at Bayerisches Finanz Zentrum
- 17.12: There will be no tutorial on January 9, 2014. The tutorial continues on January 16, 2014.
- 05.12: Problem Set 4-6 are now available for download.
- 29.10: The date of the exam and the corresponding registration form have been added.
- 28.10: Problem Set 2 & 3 are now available for download.

Section "Misc" contains some information about the question whether "riskier" or "more risky" is correct. - Due to a student's request the tutorial still starts at 6:15!

**Exam (6 ECTS):**

Date: 06.02.2014, 18:00-20:00.

Place: HS A 120 (Hauptgebäude).

Duration: 120 minutes

Auxiliary material: Calculator, handwritten formulary on 1 sheets (2 pages) of DIN A4 paper. Note that a formulary consists of formulas and is not supposed to be a transcription of the tutorial/lecture. Titles are allowed to a minor degree but text or some kind of shorthand is not permitted. The formulary must be handed in.

For identification issues, please bring along your student ID as well as your personal ID.

**Topics:**

- Some Basics
- Portfolio Selection
- Capital Asset Pricing Models
- Index Models
- Portfolio Selection Based on Down-Side Risk

**Target Audience:** Master and doctoral students in economics, business, statistics, mathematics and computer science.

**Prerequisites:** Working knowledge in mathematics (linear algebra, calculus) and econometrics (Econometrics I) or statistics (linear models).

**Literature**

- Elton, E., Gruber, M.J., Brown, S. J., Goetzmann, W. N.: Modern Portfolio Theory and Investment Analysis, Wiley, 6. Auflage, 2003.
- Meucci, A.: Risk and Asset Allocation, Springer Finance, 1. Auflage, 2005.
- Theil, H.: Principles of Econometrics, Wiley, 2. Auflage, 1971, S. 46-55 (PCA).
- Handouts

**Lecture Slides:**

**Problem Sets:**

**Misc:**

## Downloads

- regi_retake exam_ portfolio analysis (23 KByte)