Portfolio Management (VT IFS)

Modulleitung

Studiengänge

Bachelorstudiengang Betriebswirtschaftslehre (BSc BWL 21) (01.09.2021)

The Investment Process, Financial and Portfolio Mathematics, Risky Assets, Mean-Variance Portfolio Theory, Index-Models, CAPM, APT, Multifactor Models, Equity and Fixed Income Security Analysis, Term Structure of Interest Rates, Efficient Market Hypothesis

Lernergebnisse The students...

Fachkompetenz

know the basic asset classes and their respective financial instruments.
Know the difference between strategical and tactical asset allocation.
list the requirements and repeat the basic concepts of Mean-Variance Theory.
know the difference between Sharpe-Ratio and Information-Ratio
list the requirements and how to derive the Capital Asset Pricing Model (CAPM).
Know how to extend the Single-index-Model to Multi-Factor Models.
know the concepts of Arbitrage and how to derive the resulting model of Arbitrage Pricing Theory (APT).
understand the basic financial instruments and their pricing.
describe the optimal investment process.
understand portfolio statistics and underlying statistical concepts.
explain the difference between risky and risk-free assets.
describe the outcomes of portfolio theory in a risk-return diagram.
understand the concept of risk, its decomposition into unsystematic and systematic risk, and the effects of (naïve) diversification.
understand the concept of beta in the Single-Index Model.
understand the concept of beta and the market risk-premium in context of the Capital Asset Pricing Model.
understand the concept of beta and factor portfolios in the Multi-Factor-Model.
understand the concept of arbitrage.
understand why APT is a much more general concept of market equilibrium than CAPM.
understand the working and pricing of fixed income securities.
understand the term structure of interest rates and their influence on the prices of fixed income securities.
understand the implications of the Efficient Markets Hypothesis on financial markets.
calculate the risk and return of financial instruments based on observable market values.
calculate the Minimum-Variance-Portfolio.
calculate the optimal risky portfolio.
calculate the idiosyncratic and the market-specific risk of a portfolio.
calculate an optimal portfolio in the context of Single-Index-Models.
calculate the Security Market Line in the CAPM and derive arbitrage opportunities thereon.
calculate bond yields, duration and other measures of fixed income securities and fixed income portfolios.
know how to design an event study to test and identify flaws of the Efficient Market Hypothesis.
perform financial statement analysis.
estimate Index-Models, and how to derive an optimal portfolio in this context.
analyze financial instruments in the common context of Mean-Variance Theory.
understand the Two-Fund Separation Theorem and derive the Capital Market Line.
find arbitrage opportunities.
relate different concepts of market equilibrium.
identify and exploit arbitrage opportunities.
identify the efficiency of financial markets.
combine different assets in an optimal portfolio.
relate the concept of the risk-return tradeoff to the optimal allocation of assets.
relate the concept of the Efficient Market Theory to observed market conditions.
evaluate the different models in the context of changing market conditions.
decide upon investment opportunities by evaluating any type of equity and fixed income securities.
evaluate equity and fixed income instruments.
evaluate optimal allocations of assets in the Markowitz context.

Methodenkompetenz

know the requirements for the basic models of portfolio optimization and market equilibrium theory.
understand the implications and flaws of these models.
apply these models in changing market conditions.
find and use the model needed in a specific situation/setting.
apply the models in individual assignments and in a group business game.
evaluate outcomes and discuss them critically.
understand the applicability and validity of the different models.
evaluate models and decide upon which of the models fits their needs best.

Sozialkompetenz

understand and critically discuss the arguments of fellow students.
work together in small groups to solve assignments and small examples discussed in class.
evaluate the solutions of fellow students; explain carefully why they might be right or wrong.
understand the flaws and problems of fellow students, reaction without offense.
react to other opinions and defend their solution without being offended.

Selbstkompetenz

listen carefully, read and repeat, practice until they understand the logic and mathematics behind models.
work together and motivate students who tend to give up as a reaction to the difficulty of mathematical problems.
take responsibility and organize/explain solutions to others who have problems and tend to give up.

Technologiekompetenz

learn how to use Excel to analyze financial markets
apply the software to optimize portfolios in a professional and real-world setting

Voraussetzungen (formal)

Inskription ab WS23/24
Diese Zugangsvoraussetzungen:

Für die Anmeldung zu Modulen der Vertiefungsrichtung müssen die Module Statistik, Wirtschaftsmathematik und English I erfolgreich absolviert sein.
Zusätzlich muss für die Anmeldung zur Vertiefung IFS das Modul Finanzierung erfolgreich absolviert sein.

Inskription vor WS23/24
Entweder obige Zugangsvoraussetzungen oder:

Für die Anmeldung zu Modulen des fünften Semesters müssen alle Module des ersten Studienjahres erfolgreich absolviert sein.
Wahlfächer bleiben für diese Regelungen vollständig ausser Betracht.

Modulnummer:

5810807

Semester:

WS 24/25

ECTS-Credits:

Lehre:

56 L / 42 h

Selbststudium:

138 h

Sprache:

Englisch

Plansemester: