4108098: Applied Portfolio Management and Performance Analysis

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Semester:SS 16
Scheduled in semester:2
Semester Hours per Week / Contact Hours:14.0 L / 10.5 h
Self-directed study time:49.5 h

Module coordination/Lecturers


Master's degree programme in Banking and Financial Management (01.10.2008)
Master's degree programme in Finance (01.09.2015)


The exercise is directly linked to the lecture and will be conducted in form of a “Portfolio Management Game”. The project is intended to apply the concept you have studied during the lecture to this trading simulation game. Furthermore, you will span your competencies by working in an international team and dividing tasks amongst group members according to their competencies.


    • cooperate as a team and make decisions together.
    • discuss portfolio and management strategies in group and reflect on performance of group.
    • explain arguments in a limited time frame.
    • learn to argue their opinion and take decisions in a group.
    • support group decisions even if they are not your own conclusions.

Lectures Method

Apply theoretical concepts in a real context.


> Yollin, G. (2009). R tools for portfolio optimization. Bellevue: Rotella Capital Management.
> Würtz, D., Chalabi, Y., Chen, W., & Ellis, A. (2009). Portfolio optimization with R/Rmetrics. Zurich: Rmetrics Association & Finance Online Publishing.


  • Students are required to bring along a laptop with a functioning version of R or Matlab
  • Exercise sheets will be uploaded to Moodle or distributed in class

Exam Modalities

  • Written report (70%)
  • Presentation (30%)


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.


14.04.201609:00 - 16:15Exkursion
15.04.201609:00 - 16:15Exkursion
24.05.201609:00 - 20:00H5 (Fabrikweg)
25.05.201609:00 - 18:00H5 (Fabrikweg)


  • PWW-MA_Applied Portfolio Management and Performance Analysis (SS 16, in Bewertung)