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
- Dr. Lars Kaiser
(Interner Dozent)
- Mag. Ulrike Ebli-McKenna
(Modulleitungsassistenz)
- Florian Schaller, MSc
(Modulleitung)
- Dr. rer. oec. Jurij-Andrei Reichenecker, MSc UZH ETH LL.M.
(Co-Modulleitung)
- Prof. Dr. Marco J. Menichetti
(Interner Dozent)
Curricula
Master's degree programme in Banking and Financial Management (01.10.2008)Master's degree programme in Finance (01.09.2015)
Description
> Mean-Variance Portfolio Choice
> Market Efficiency
-- Efficient Markets Hypothesis
-- Adaptive Markets Hypothesis
> Asset Pricing Models
-- CAPM, Two-Fund Separation, APT, Multi-Factor models
> Expected Moments of Returns
-- Forecasting Returns, Variance, Covariance Matrix
> Exchange Rate Risk of Bond and Stock Portfolios
-- Duration of International Bond Portfolios
> Equity Portfolio Management
-- Passive Management
-- Active Management
-- Fundamental Law of Active Management
> Performance analysis
-- Risk-based Metrics
-- Multi-Factor Return Attribution (Fama-French, Carhart, etc.)
-- Cross-Sectional Measures
-- Tracking Error and Active Share
-- Turnover and Transaction costs
> Asset Management Industry
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
| Datum | Zeit | Raum |
| 26.02.2016 | 09:00 - 10:30 | H4 |
| 01.03.2016 | 09:00 - 10:30 | H5 (Fabrikweg) |
| 08.03.2016 | 09:00 - 12:15 | H5 (Fabrikweg) |
| 15.03.2016 | 09:00 - 12:15 | H5 (Fabrikweg) |
| 05.04.2016 | 09:00 - 12:15 | H5 (Fabrikweg) |
| 12.04.2016 | 09:00 - 12:15 | H5 (Fabrikweg) |
| 19.04.2016 | 09:00 - 12:15 | H5 (Fabrikweg) |
| 26.04.2016 | 09:00 - 12:15 | H5 (Fabrikweg) |
| 03.05.2016 | 09:00 - 11:30 | H5 (Fabrikweg) |
| 10.05.2016 | 09:00 - 11:30 | H5 (Fabrikweg) |
| 17.05.2016 | 13:00 - 16:15 | H6 (Fabrikweg) |
| 31.05.2016 | 09:00 - 12:15 | H5 (Fabrikweg) |
Exams
- PWW-MA_Empirical Asset Pricing and Portfolio Theory (SS 16, bewertet)
- PWW-MA_Empirical Asset Pricing and Portfolio Theory (WS 16/17, bewertet)