Organisation:		News:
Instructors:	Prof. Dr. G. Löffler and	Results of the late-sit exam are available (Hochschulportal and blackboard). Review of the late-sit exam by appointment. Please contact Alina Maurer.
	Alina Maurer
Lecture:	Thursday, 10:15 - 11:45, H7
	Friday, 14:15 - 15:45, H6

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Course Outline:

1. Introduction

2. Portfolio construction

3. Elements of active management

4. Selected topics in investment management

5. Risk measurement beyond mean-variance

6. Performance measurement and performance factors

7. Trends and issues

 

Downloads - Lecture:

General Information

Introduction

Portfolio construction xls: Covariance estimation Optimization error

Elements of active management xls: Black-Litterman Alpha-Refinement

Selected topics in investment management

Risk measurement beyond mean-variance

Performance measurement and performance factors

Trends and issues

Appendix

 

Downloads - Exercises:

Problem Set 1, Data for Q1 (xls), Data for Q4 (xls), Solution Set 1, Solution for Q1 (xls), Solution for Q4 (new) (xls)

Problem Set 2, Solution Set 2

Problem Set 3, Data for Q1 (xls), Data for Q5 (xls), Solution Set 3, Solution for Q1 (xls), Solution for Q5 (xls)

Problem Set 4, Data for Q4 (xls), Solution Set 4, Solution for Q4 (xls)

Problem Set 5, Solution Set 5

Problem Set 6, Data for Q2 (xls), Solution Set 6, Solution for Q2 (xls)

Problem Set 7, Data for Q4 (xls), Solution Set 7, Solution for Q4 (xls)

Problem Set 8, Data for Q3 (xls) Solution Set 8, Solution for Q3 (xls)

 

Downloads - Guest talks:

Talk by Thomas Benedix

Talk by Thomas Benedix (with questions)

 

Exam:

The Exam will take place on 19.02.2010 from 12:00 - 14:00 in H4/5.

Here you will find the last year's exam. Due to a change in course contents, some questions of Block A are no longer relevant for the exam of this term.

 

Late Sit Exam:

The late sit exam will take place on 14.04.2010 from 14:00 - 16:00 in HeHo 18 Room 220. Please use the following form to register for the late sit exam. The registration is only for internal organisatory purposes. It is not a substitute for a possible necessary registration in your office of study affairs. Please take notice of your examination rules!

Firstname		Name
Student-ID
Grading	Pass/No Pass  Grade

 

Lecture Timetable:

Date	Kind	Remark
Thu, 15.10.2009	Lecture	A reader with lecture slides will be handed out.
Fri, 16.10.2009	Lecture
Thu, 22.10.2009	Exercise
Fri, 23.10.2009	Lecture
Thu, 29.10.2009	Lecture
Fri, 30.10.2009	Lecture
Thu, 05.11.2009	Lecture
Fri, 06.11.2009	Lecture	cancelled
Thu, 12.11.2009	Lecture
Fri, 13.11.2009	Exercise
Thu, 19.11.2009	Lecture
Fri, 20.11.2009	Lecture
Thu, 26.11.2009	Guest Talk	Talk by Thomas Benedix
Fri, 27.11.2009	Lecture
Thu, 03.12.2009	Lecture
Fri, 04.12.2009	Exercise
Thu, 10.12.2009	Lecture
Fri, 11.12.2009	Lecture
Thu, 17.12.2009	Lecture
Fri, 18.12.2009	Exercise
Thu, 07.01.2010	Lecture
Fri, 08.01.2010	Lecture
Thu, 14.01.2010	Lecture
Fri, 15.01.2010	Exercise
Thu, 21.01.2010	Lecture
Fri, 22.01.2010	Lecture
Thu, 28.01.2010	Exercise
Fri, 29.01.2010	Guest Talk	Talk by Achim Glaser
Thu, 04.02.2010	Lecture
Fri, 05.02.2010	Lecture
Thu, 11.02.2010	Lecture
Fri, 12.02.2010	Exercise

 

Recommended Reading

• Scherer, B., 2002, Portfolio Construction and Risk Budgeting. Risk books. Optimization : pp. 1-3 and pp. 164-167, Shortfall measures: pp. 58-61.
• Black-Litterman: Drobetz, W., 2001, How to avoid the pitfalls in portfolio optimization? Putting the Black Litterman approach at work. Financial Markets and Portfoliomanagement 15, 59-75.
• Alpha-Refinement: In particular insight 4 from Kahn, R., 1999, Seven quantitative insights into active management, Barra Research Insights.
• Value at Risk: Deutsche Bundesbank, 1998, Banks‘ internal risk management models and their prudential recognition. Monthly report October, 65-80.
• Management: Bogle, J.C., 2005 ,The mutual fund industry 60 years later: For better or worse? Financial Analysts Journal, January, 15-24.
• Interview with Peter Lynch.