Semester:WS 24/25
Type:Module
Language:English
ECTS-Credits:6.0
Scheduled in semester:5
Semester Hours per Week / Contact Hours:56.0 L / 42.0 h
Self-directed study time:138.0 h
Type:Module
Language:English
ECTS-Credits:6.0
Scheduled in semester:5
Semester Hours per Week / Contact Hours:56.0 L / 42.0 h
Self-directed study time:138.0 h
Module coordination/Lecturers
- Lukas Salcher, MSc
(Modulleitung)
Curricula
Bachelor's degree programme in Business Administration (01.09.2021)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 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.
- 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.
- learn how to use Excel to analyze financial markets
- apply the software to optimize portfolios in a professional and real-world setting
Admission Requirements
Financial Decision Making
- Decision Theory (especially Expected utility theory and Mean-Variance theory)
- Quantitative Analysis
Prerequisities
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.