Chair of Financial Econometrics
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Financial Econometrics: Portfolio Analysis

News:

  • March 1st: The results for the exam are put up in the room in front of the secretary's office. If you are interested in having a look at your exam you may visit the tutorial instructors on March 13. To this end, please send an email to spanhel@stat.uni-muenchen.de.
    If you want to participate in the second exam please send an email to spanhel@stat.uni-muenchen.de by no later than April 1st.
  • February 7: The last tutorial took place on 6 February; hence no tutorials are planned for 8 February.
  • January 29: A minor typo in example_pca has been corrected (the correlation between the DAX and the 5-th PC should be -0.081).
  • January 24: Please register for the exam (see below). Problem set 3 has been updated once again. Problem set 4 has been added for download. The tutorial on January 30 for group 1 will begin at 10:45 a.m.
  • January 18: Problem set 3 has been updated!
  • January 16: Problem set 3 is available for download
  • January 9: The first and second exercise sheets are available for download. Please use the password which was declared in the tutorial to open and print the files. The problem statement of exercise b) in the first exercise sheet was also updated to render it unambiguous. Please comply with your allocation to one of the two tutorial groups! The tutorial on January 30 for group 1 will begin at 10:45 a.m.

New Rooms for Lecture: January 21, 2013 - February 11, 2013:

Monday, January 21, 10 a.m. - 4 p.m

Alte Bibliothek (Room 245), Ludwigstr. 33, 2.OG, 80539 München

Monday, January 28, 10 a.m. - 4 p.m

Alte Bibliothek (Room 245), Ludwigstr. 33, 2.OG, 80539 München

Monday, February 4, 10 a.m. - 4 p.m

Seminarraum (Room 144), Institut für Statistik, Ludwigstr. 33, 1.OG, 80539 München

Monday, February 11, 10 a.m. - 4 p.m

Seminarraum (Room 144), Institut für Statistik, Ludwigstr. 33, 1.OG, 80539 München

Lecture (Mittnik)

Monday 10 a.m. - 4 p.m,  New Rooms see above!

Lectures: January 7, 2013 - February 11, 2013

 

Tutorial (Spanhel/Robinzonov)

Tutorials: January 9, 2013 - February 8, 2013

Altogether, there are 6 hours per week scheduled for the tutorial. On Wednesday and Friday, a 3 hour tutorial with identical content will be provided twice so that students can take part either in the first tutorial (group 1) or the second tutorial (group 2). To guarantee that students are equally allocated between the two groups a registration is necessary by no later than January 6, 2013. Please send an email (including your name, student number, degree program) to Ms. Brunner martina.brunner@stat.uni-muenchen.de and tell us whether you are indifferent with regard to your group allocation or you can only participate in selected exercise units, for example on Wed in group 1 and on Fri in group 2. Please, state reasons for your preference should you have any. Allocation to the groups will be based upon the date of registration.

Wednesday

Group 1: Fabian Spanhel, 10 a.m. - 1 p.m, Edmund-Rumpler-Str. 9, Room 015

Group 2: Nikolay Robinzonov, 1 p.m. - 4 p.m, Edmund-Rumpler-Str. 9, Room 015

First Tutorial: 09.01.2013

Friday

Group 1: Fabian Spanhel, 10 a.m. - 1 p.m, Edmund-Rumpler-Straße 13 - Room B210

Group 2: Nikolay Robinzonov, 1 p.m. - 4 p.m, Edmund-Rumpler-Straße 13 - Room B210

First Tutorial: 11.01.2013

Exam:

Date: February 20, 10:00 - 12:00

Place: Theresienstr. 39 (B) - B 047

Duration: 120 minutes

Auxiliary material: Calculator, handwritten formulary on 1 sheets (2 pages) of DIN A4 paper (NO printouts!). You have to hand in your handwritten formulary with the exam.

Registration: Mandatory registration using the registration form (available here). Please send this registration form per email with subject "registration exam portfolio analysis" to martina.brunner@stat.uni-muenchen.de by no later than February 6.

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

Topics:

  1. Foundations
  2. The Portfolio Selection Problem
  3. The Mean-Variance Approach
  4. Empirics of Mean-Variance Analysis
  5. Index Models
  6. Capital Asset Pricing Models

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

Problem Statements: