4108096: C15 Asset Pricing & Portfolio Choice

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Semester:SS 16
Scheduled in semester:2
Semester Hours per Week / Contact Hours:63.0 L / 47.5 h
Self-directed study time:132.5 h

Module coordination/Lecturers


Master's degree programme in Finance (01.09.2015)


> Active and Passive Equity Portfolio Management
> Asset Allocation, Investment Horizon and Risk Measurement
> Performance Measurement and Output Evaluation
> Exchange Rate Risk Management
> Rebalancing Effects
> Discussion of the Methods of Individual Selected Journal Contributions
> Resampling to address parameter uncertainty and time-horizon effects in portfolio management
> Forecasting moments of returns
> Portfolio Theory and Optimal Risk Portfolio
> Capital Market Models and Evaluation on Complete Markets
> Momentum und Contrarian Strategies
> Technical Analysis
> Risk-based Heuristic Models
> Programming in R and/or Matlab

Lecture Goals

After completion of the module, the students are able to evaluate assets by means of various
models and to illustrate investment procedure. They thereby draw on current knowledge of
capital market research and can show suggestions for solutions while integrating their
theoretical knowledge. Events on the capital market are critically scrutinised in discussions
with instructors and fellow students.


Admission Requirements

It is a prerequisit for students wanting to attend this course, to have previously successfully completed the following:
> Quantitative Finance
> Empirical Finance

Exam Modalities

See lectures within the module.


The class will be split into two groups of which one group will conduct the game at Loughborough University together with their MSc students. The second group will be based in Liechtenstein.

Each group will have to participate for two days and obligatory participation applies for the entire game. The dates are as follows:

> Loughborough: 14-15 April 2016
> Liechtenstein: 24-25 Mai 2016

Places for Loughborough are allocated on a first come first serve basis. Costs for transportation and accommodation need to be covered by the students.