Financial Econometrics: Portfolio Analysis in WS 2009/10
Lecture and Tutorial
Lecture (Mittnik)
Tue 12 a.m. - 3 p.m., Edmund-Rumpler-Strasse 13 - B 117
Tutorial (T. Yener)
Mon 12 a.m. - 2 p.m., Geschw.-Scholl-Pl. 1 (B) - B 015
News
On 11/17/2009 there will be an additional tutorial instead of the lecture (12 a.m. - 2 p.m., Edmund-Rumpler-Strasse 13 - B 117).
In January 2010, a course "Portfolio Analysis Using MATLAB" will be held on three tutorial dates. Detailed information will follow soon.
Exam
Time: Tue 02/09/2010, 12 a.m. - 2 p.m.
Location: t.b.a.
Allowed auxiliary material and devices:
- non-programmable calculator,
- 2 hand-written DIN A4 sheets of paper,
- list of tables.
A registration is not necessary, but please bring
- your student identity card and
- a personal identity card / passport.
Contents
- Foundations
- The Portfolio Selection Problem
- The Mean-Variance Approach
- Empirics of Mean-Variance Analysis
- Index Models
- Portfolio Optimization and Down-side Risk Constraints
- Capital Asset Pricing Models
Target Audience
Students of Statistics, Mathematics, Financial Mathematics, Informatics, Business Administration, Economics
Previous Knowledge
Basics of Calculus, Linear Algebra, Statistics
Schein
will be obtained by passing the exam.
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.
- Handouts
Problem Sets
- Problem Set 1
Graphics for Problem Set 1 - Problem Set 2
Graphics for Problem Set 2, Part 1
Graphics for Problem Set 2, Part 2 - Problem Set 3
- Problem Set 4
- Problem Set 5
- Problem Set 6