4308097: Empirical Asset Pricing and Portfolio Theory

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Semester:SS 17
Type:Lecture
Scheduled in semester:2
Semester Hours per Week / Contact Hours:42.0 L / 31.5 h
Self-directed study time:88.5 h

Module coordination/Lecturers

Curricula

Master's degree programme in Finance (01.09.2015)

Description

> Review of Portfolio Theory and Asset Pricing
> Extension of the CAPM
> CAPM, Anomalies & Multi-Factor Models
> Predictability of Asset Returns
> From Traditional to Mean-Variance Investing and Beyond
> Performance Evaluation
> Portfolio Execution, Monitoring, Rebalancing and Costs

Qualifications

Lectures Method

> Interactive lecture
> Exercises

Literature

> Elton, E., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2010). Modern portfolio theory and investment analysis (8th ed.). Hoboken: Wiley.
> Lecture notes, Exercises, and other material distributed during the lectures.
> CFA Material

Exam Modalities

Written closed book examination (90 minutes)

Dates

DatumZeitRaum
24.02.201709:00 - 10:30H2
07.03.201709:00 - 12:15H5 (Fabrikweg)
07.03.201709:00 - 12:15abgesagt/cancelled
14.03.201709:00 - 12:15H5 (Fabrikweg)
21.03.201709:00 - 12:15H5 (Fabrikweg)
28.03.201709:00 - 12:15H5 (Fabrikweg)
30.03.201713:15 - 16:30H4
04.04.201709:00 - 12:15H5 (Fabrikweg)
04.05.201713:15 - 16:30H3
09.05.201709:00 - 12:15H5 (Fabrikweg)
16.05.201709:00 - 12:15H5 (Fabrikweg)
23.05.201708:00 - 09:30H5 (Fabrikweg)

Exams

  • PWW-MA_Empirical Asset Pricing and Portfolio Theory (SS 17, bewertet)
  • PWW-MA_Empirical Asset Pricing and Portfolio Theory (WS 17/18, bewertet)