Chair of Financial Econometrics

Language Selection

Breadcrumb Navigation


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


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.


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.


  1. Foundations
  2. The Portfolio Selection Problem
  3. The Mean-Variance Approach
  4. Empirics of Mean-Variance Analysis
  5. Index Models
  6. Portfolio Optimization and Down-side Risk Constraints
  7. Capital Asset Pricing Models

Target Audience

Students of Statistics, Mathematics, Financial Mathematics, Informatics, Business Administration, Economics

Previous Knowledge

Basics of Calculus, Linear Algebra, Statistics


will be obtained by passing the exam.


  • 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