Investment and Risk Management WS 2018
|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, 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.