Semester:WS 20/21
Type:Module
Language:English
ECTS-Credits:6.0
Scheduled in semester:5
Semester Hours per Week / Contact Hours:60.0 L / 45.0 h
Self-directed study time:135.0 h
Type:Module
Language:English
ECTS-Credits:6.0
Scheduled in semester:5
Semester Hours per Week / Contact Hours:60.0 L / 45.0 h
Self-directed study time:135.0 h
Module coordination/Lecturers
- Ass.-Prof. Dr. Sebastian Stöckl
(Modulleitung)
- Dr. rer. oec. Matthias Herrmann-Romero, MSc
(Co-Modulleitung)
- Lukas Salcher, MSc
(E-Learning Admin)
Curricula
Bachelor's degree programme in Business Administration (01.09.2012)Events
Description
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
Qualifications
- 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 concepts 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.
- 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.
- 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.
- 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.
Admission Requirements
- C12_Financial Decision Making
- C12_Research Methods I - IFS - specialization Part
Prerequisities
Voraussetzung für die Anmeldung zum Modul:
- erfolgreicher Abschluss von English I
- erfolgreicher Abschluss von weiteren Modulen des 1. Regelstudienjahres im Umfang von weiteren 45 Credits.