Investment and Risk Management WS 2016

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


  • Scherer, B., 2002, Portfolio Construction and Risk Budgeting. Risk books. Optimization: pp. 1-3 and pp. 164-167, Shortfall measures: pp. 58-61.
  • Alpha-Refinement: 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.
  • Management: Bogle, J.C., 2005, The mutual fund industry 60 years later: For better or worse? Financial Analysts Journal, January, 15-24.
  • Interview with Peter Lynch.


You will find all relevant information on our Moodle site.

First lecture on Tuesday, 18.10., from 10.15-11.45 in H11

Dates and Room


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.

Module description

This lecture is open for

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

and others according to study plan.

Module description