Asset Pricing and Portfolio Optimization

Die Veranstaltung findet in englischer Sprache statt. Es handelt sich um eine Präsenzveranstaltung im Wintersemester, die in Vorlesungs- und Übungseinheiten aufgeteilt ist. Die Termine der Veranstaltung sind dem KIS zu entnehmen

Die Prüfungsleistung ist eine schriftliche Abschlussklausur am Ende der Vorlesungszeit.

After successful completion of the module, students:

  • Are able to estimate risk and returns from portfolios and single assets.
  • Can understand and apply Markowitz Portfolio Theory, including estimating minimum variance portfolios, mean-variance portfolios, with and without riskless assets.
  • Learn the limitations to the Markowitz portfolio theory and possible alternatives to overcome the limitations.
  • Are able to understand the theory and practice of the Capital Asset Pricing Model
  • Can apply the asset pricing models to estimate expected returns of single assets.
  • Learn how to estimate measures of portfolios’ performance.

A. Introduction to Asset Management

  • Role of the Financial System
  • Introduction to Investments and Asset Management
  • Overview of Securities Trading
  • Stock Market Indices
  • Investment Funds

B. Markowitz Model of Portfolio Theory

  • Risk and Return for a Single Asset
  • Risk and Return in a Portfolio
  • Portfolio Optimization and Risk-efficient Frontier without Riskless Asset
  • Portfolio Optimization and Risk-efficient Frontier with a Riskless Asset

C. Limitations and Solutions for the Markowitz Model

  • Limitations of the Markowitz model
  • Michaud optimization
  • Black-Litterman as an alternative model
  • Current Research and New alternatives to Improve the Markowitz Model

D. Capital Asset Pricing Model (CAPM)

  • Introduction to CAPM
  • Derivation of CAPM
  • Use of CAPM for valuation and asset pricing
  • Empirical tests of CAPM

E. Asset Pricing

  • Efficient Market Hypothesis
  • Cross-sectional Return Predictors (Capital Market Anomalies)
  • Joint Hypothesis and Asset Pricing Models
  • Fama-French Three-Factor Asset Pricing Model
  • New Generation of Asset Pricing Models

F. Performance Measurement