Portfolio Analysis [VWLaemPoAn-02a] (Portfolio Analysis) (030103)- Dozent/in
- Prof. Dr. Markus Haas
- Angaben
- Vorlesung, 2 SWS, ECTS-Studium, ECTS-Credits: 6
für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch
Zeit und Ort: Mi 10:15 - 11:45, CAP2 - Hörsaal F
vom 17.4.2024 bis zum 10.7.2024
1. Prüfungstermin (Klausur am Ende der Vorlesungszeit eines Semesters): 25.7.2024, 14:00 - 16:00 Uhr, Raum CAP2 - Frederik-Paulsen-Hörsaal
- Voraussetzungen / Organisatorisches
- Module Code: VWLaemPoAn-02a
Module Number: 3901601
Exam Number: 43155
Exam type according to FPO: Module Exam (Modulprüfung)
Specific exam type in summer term 2024: Written Exam
The number of ECTS Credits as well as the admission to the examination for this module is determined by the information regarding this module in the FPO (Examination Regulations) of your program (possibly only in the Appendix of the German version). If this module is not explicitly listed in your FPO, please check at the beginning of the semester about admission options. Typically, admission to the examination of this module is not possible in this case. An overview for all programs which can choose modules of the Institute of Economics can also be found here: Nebenfach Volkswirtschaftslehre Handbuch für Exportmodule (Minor in Economics - Handbook of Export Modules). You can also check in advance in QIS whether you can find this module listed there in the overview for exam registration, with the exam number mentioned in univis. Registration to the exam is only possible during the registration period. If you still have questions after reviewing these documents, please contact your student advisor (Studienfachberater).
DE: Der angegebene Klausurzeitraum am NN und N.N. beinhaltet die Ausgabe und das Einsammeln der Prüfungsunterlagen.
Die Klausur am N.N. und N.N. wird in der Zeit von xx-xx Uhr geschrieben!
ENG: The specified examination period date on N.N. and N.N. includes the distribution and collection of the examination documents. Both examinations will be written from xx pm to xx pm.
DE/ENG: Weitere Informationen zur Veranstaltung finden Sie in OLAT/current information regarding the lecture can be found in OLAT:
https://lms.uni-kiel.de/url/RepositoryEntry/218268028
- Inhalt
- The course covers econometric aspects of modern portfolio analysis. Building on the classical approach to portfolio optimization due to Markowitz, estimation of the input parameters and resulting consequences for estimated optimal portfolio weights in situations where a large number of assets is involved is discussed in-depth. Techniques such as factor models, shrinkage estimation, and Bayesian approaches are considered that may help to reduce the estimation error. Alternative approaches to portfolio selection based on downside risk considerations, such as maximizing the expected return subject to Value-at-Risk or expected shortfall constraints, are also motivated and presented.
1. Foundations
2. The Portfolio Selection Problem
3. Mean-Variance Portfolio Theory
4. Portfolio Selection based on Down-Side Risk
5. Estimation of the Mean-Variance Model
6. Testing the Efficiency of a Given Portfolio
7. Performance Evaluation with the Sharpe Ratio
8. Further Topics
- Empfohlene Literatur
- Ang, Andrew (2014). Asset Management. Oxford University Press, Oxford.
- Brandt, M. W. (2010): Portfolio Choice Problems. In Ait-Sahalia, Y. and Hansen, L. (ed.), Handbook of Financial Econometrics. North-Holland, Amsterdam.
- Guidolin, M. and M. Pedio (2016). Essentials of Applied Portfolio Management. Bocconi University Press, Mailand.
- Joshi, M. S. and J. M. Paterson (2013). Introduction to Mathematical Portfolio Theory. Cambridge University Press, Cambridge.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 100
www: http://www.wiso-studium.uni-kiel.de/de/master/quantitative-finance/portfolio-analysis-in-quantitative-finance
- Zugeordnete Lehrveranstaltungen
- UE: Übung zu "Portfolio Analysis" (Gruppe 1) (030102)
-
Dozentinnen/Dozenten: Prof. Dr. Markus Haas, durch, Alexander Georges Gretener, M.Sc.
Zeit und Ort: jede 2. Woche Do 16:15 - 17:45, CAP2 - Hörsaal B
www: http://www.wiso-studium.uni-kiel.de/de/master/quantitative-finance/portfolio-analysis-in-quantitative-finance
- UE: Übung zu "Portfolio Analysis" (Gruppe 2) (030101)
-
Dozentinnen/Dozenten: Prof. Dr. Markus Haas, durch, Alexander Georges Gretener, M.Sc.
Zeit und Ort: jede 2. Woche Do 16:15 - 17:45, WSP1 - R.401
www: http://www.wiso-studium.uni-kiel.de/de/master/quantitative-finance/portfolio-analysis-in-quantitative-finance
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