Investment and Risk Management WS 2018

General Remarks

Relevant information and downloads are now available on  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



  • 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


You will find all relevant information on our Moodle site.

First lecture: Tuesday, 16.10., 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, which means you have to take the first exam to be allowed to register for the retake.

Module description

This lecture is open for

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

and others according to study plan.

Module description