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.)
Quantitative Asset and Risk Management (Master)
Studienjahr, in dem die Lerneinheit angeboten wird
Semester in dem die Lehrveranstaltung angeboten wird
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