5006590: Portfoliomanagement and Financial Analysis

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Semester:WS 20/21
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


Bachelor's degree programme in Business Administration (01.09.2012)


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


    • 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


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.