Investment and Risk Management WS 2017

General Remarks

Relevant information and downloads will be made available via Moodle.

Course Contents

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

Literature

References

  • 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.

General references and interesting stuff

  • Pedersen, 2015, Efficiently inefficient.
  • Bogle, J.C., 2005, The mutual fund industry 60 years later: For better or worse? Financial Analysts Journal, January, 15-24.
  • "Some Thoughts About Investing" in the 2013 Berkshire Hathaway letter to shareholders

News

You will find all relevant information on our Moodle site.

First lecture: Tuesday, 17.10., 10.15-11.45 in H11

Instructors

Prof. Dr. Gunter Löffler

Clara Franke

Dates and Room

Tuesdays, 10.15 - 11.45, H11
Thursdays, 10.15 - 11.45, H8

Exam

The exam is of open form.

For further information about the exam visit Moodle.

Module description

This lecture is open for

  • Wiwi (BSc,MSc)
  • WiMa (BSc, MSc)
  • Finance (MSc)

and others according to study plan.

Module description