Integrating Aspects of Asset Management

fundamental influencing factors for the long-term investment; computing the correlations and multidimensional return distributions of asset classes; aggregation of univariate return distributions to a multivariate return distribution if the marginal univariate return distributions are not Gaussian; simulation of long-term return distributions of portfolios consisting of products from several asset classes; selection and optimization over several asset classes for specific objective functions; performance and attribution analysis for portfolios consisting of products from several asset classes; the role of age in the investment decision and human life cycle investment strategies; the influence of labour income on investment decisions; the influence of risk preferences on investment decisions; determining the risk preferences of an investor; behavioural finance; the influence of transaction costs on the performance and minimization of transaction costs

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

O’Shaughnessy, J., 2012, What works on Wall Street: the classic guide to the best-performing investment strategies of all time, 4th ed., McGraw Hill; CFA Institute, Maginn, J., 2007, Managing investment portfolios: a dynamic process, 3rd ed., Wiley

Lern- und Lehrmethode

Interactive teaching (lecture and discussion), asset allocation game with market data from the fourth quarter, regular market assessments by the students

Prüfungsmethode

The course assessment relies on continuous assessment (30 points) and a written final exam (70 points). The continuous assessment is split in half; 15 points are based on the final report for the asset allocation challenge while the other 15 points are based on the elaboration on individual market views during the semester and in-class contributions. The rules are outlined in the syllabus of each lecturer.

Voraussetzungen laut Lehrplan

Courses of the 2nd semester

Schnellinfos

Studiengang

Quantitative Asset and Risk Management (Master)

Akademischer Grad

Master

ECTS Credits

6.00

Unterrichtssprache

Englisch

Studienplan

Berufsbegleitend

Studienjahr, in dem die Lerneinheit angeboten wird

2023

Semester in dem die Lehrveranstaltung angeboten wird

3 WS

Incoming

Lernergebnisse der Lehrveranstaltung

After the successful completion of the course, students are able to combine assets from various asset classes into an appropriate aggregated portfolio. They can identify and operate the different phases of the portfolio management process (analysis, forecasting, selection and performance and attribution analysis) for the aggregated portfolio. They can use financial data providers to collect market data and use it for analysis and forecasting in the portfolio management process. Furthermore, they can use industry specific software to conduct a performance evaluation for a portfolio and present the results to a specialist and non-specialist audience.

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-29