Asset Class Equity

short review of the most common products in this asset class and characteristic numbers; indices and benchmarks for this asset class; active vs. passive strategies and replication of benchmarks; objective functions and performance measures for this asset class; multiples (ratios), deriving the intrinsic value on the basis of pricing models; quantitative forecast on the basis of the intrinsic value, time-series, factor models and maybe neural networks; computation of important sensitivity measures for an equity portfolio; computation of the statistical return distribution and of statistical characteristic numbers for an equity portfolio; trading strategies for an equity portfolio; controlling an equity portfolio using derivatives; selection and optimisation for an equity portfolio: performance and attribution analysis of an equity portfolio

Art der Vermittlung


Art der Veranstaltung


Empfohlene Fachliteratur

Reilly, F., Brown, K., 2003, Investment Analysis and Portfolio Management, 7th ed., ITPS Thomson Learning; Grinold, R., Kahn, R., 2008, Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, 2nd ed., McG; Greenblatt, J., 2010, The Little Book That Still Beats the Market, John Wiley & Sons

Lern- und Lehrmethode

Integrated class


Student assessment relies on the quality of their assignments, their presentations and their participation (30 points), and on the result of the written final exam (70 points).

Voraussetzungen laut Lehrplan

Courses of the 1st semester



Quantitative Asset and Risk Management (Master)

Akademischer Grad


ECTS Credits






Studienjahr, in dem die Lerneinheit angeboten wird


Semester in dem die Lehrveranstaltung angeboten wird

2 SS



Lernergebnisse der Lehrveranstaltung

After the successful completion of the course, students are able to point out the characteristics of the asset class equity and investigate on the risks associated with this asset class. They are capable of analysing equities based on financial or economical models and are able to construct simple forecasting models for this asset class. Based on the results of these forecasting models, students are able to conduct a portfolio selection. Furthermore, they have the ability to conduct performance and attribution analyses for this asset class.

Kennzahl der Lehrveranstaltung