Introduction to Asset Management

asset classes and associated products; strategic and tactical asset allocation; information-efficiency hypothesis and active vs. passive tactical asset allocation; prevalent investment theories: bottom-up vs. bottom-down, technical vs. fundamental analysis, stock picking vs. market timing asset management process: analysis, forecast, decision and performance and attribution analysis; return measures (expected value, median, mode of portfolio returns, active expected returns, Jensen's alpha, etc.); risk measures (standard deviation, skewness and excess kurtosis, Lower Partial Moments LPM, VaR and Conditional Value at Risk cVaR, tracking error); Objective functions for the optimisation of a portfolio (expected value vs. standard deviation of returns, information ratio, Sharpe ratio, etc.) influencing factors concerning portfolio decision (risk-, time- and liquidity-preferences, time horizon, original assets, earnings-risk, taxes, etc.)

Art der Vermittlung


Art der Veranstaltung


Empfohlene Fachliteratur

Reilly, Brown: Investment Analysis and Portfolio Management; Grinold, Kahn: Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk

Lern- und Lehrmethode

Integrated class


The continuous assessment for this course rests on two quantitative projects. For the first project, students perform a quantitative analysis of three asset classes (10 points). For the second project, they compute an optimal portfolio allocation and evaluate it with regard to its risk and return profile (20 points). Up to 70 points for the written final exam complete the assessment for this course.

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 characterize the most important tasks in asset management and identify the risks associated with them. Furthermore, they can elaborate on different asset classes and identify characteristic risks of each of these. They can differentiate between strategic and tactical asset allocation and evaluate the risk profile of a chosen strategic asset allocation. They can outline financial models supporting the tasks in asset management and are able to calculate and critically analyse key figures used for these models. Furthermore, they are able to identify problems in the course of a portfolio management process and state possibilities to overcome these.

Kennzahl der Lehrveranstaltung