Homeall Events

4708097: Empirical Asset Pricing and Portfolio Theory

back to overview
Semester:SS 19
Type:Lecture
Scheduled in semester:2
Semester Hours per Week / Contact Hours:42.0 L / 31.5 h
Self-directed study time:88.5 h

Module coordination/Lecturers

Curricula

Master's degree programme in Finance (01.09.2015)

Description

> Review of Portfolio Theory and Asset Pricing
> Extension of the CAPM
> CAPM, Anomalies & Multi-Factor Models
> Predictability of Asset Returns
> From Traditional to Mean-Variance Investing and Beyond
> Performance Evaluation
> Portfolio Execution, Monitoring, Rebalancing and Costs

Qualifications

Lectures Method

> Interactive lecture
> Exercises

Literature

> Elton, E., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2010). Modern portfolio theory and investment analysis (8th ed.). Hoboken: Wiley.
> Lecture notes, Exercises, and other material distributed during the lectures.
> CFA Material

Exam Modalities

Written closed book examination (90 minutes)

Dates

DatumZeitRaum
19.02.201909:00 - 12:15H5 (Fabrikweg)
21.02.201909:00 - 10:30H4
26.02.201909:00 - 12:15H5 (Fabrikweg)
12.03.201909:00 - 12:15H5 (Fabrikweg)
26.03.201909:00 - 12:15H4
02.04.201909:00 - 12:15H4
09.04.201909:00 - 12:15H5 (Fabrikweg)
16.04.201909:00 - 12:15H5 (Fabrikweg)
07.05.201909:00 - 12:15H5 (Fabrikweg)
21.05.201909:00 - 12:15H4
28.05.201909:00 - 12:15H4
18.06.201910:00 - 11:30N.N.

Exams

  • PWW-MA_Empirical Asset Pricing and Portfolio Theory (SS 19, bewertet)
  • PWW-MA_Empirical Asset Pricing and Portfolio Theory (Retake) (WS 19/20, bewertet)