Investment and Risk Management WS 2017
Relevant information and downloads will be made available via Moodle.
|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|
- Scherer, B., 2002, Portfolio Construction and Risk Budgeting. Risk books. Optimization: pp. 1-3 and pp. 164-167, Shortfall measures: pp. 58-61.
- Forecasting alphas: 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.
You will find all relevant information on our Moodle site.
First lecture: Tuesday, 17.10., 10.15-11.45 in H11
Dates and Room
Tuesdays, 10.15 - 11.45, H11
Thursdays, 10.15 - 11.45, H8
The exam is of closed form that means you have to take the first exam to be allowed to take the retake of the exam.
For further information about the exam visit Moodle.
This lecture is open for
- Wiwi (BSc,MSc)
- WiMa (BSc, MSc)
- Finance (MSc)
and others according to study plan.