Financial Econometrics: Portfolio Analysis
Announcement:
The exam can be reviewed on Wednesday, 4th March from 13:00-14:00 in room A 152. Please write an e-mail to dennis.mao@stat.uni-muenchen.de in order to register.
Retake - Exam (6 ECTS): CANCELLED
Lecture (Prof. Stefan Mittnik, Ph.D.)
Tuesday, 4 p.m. - 6 p.m, Geschw.-Scholl-Pl. 1 (A) - A 016
Lectures: October 15, 2019 until February 4, 2020
Tutorial (Dennis Mao)
Thursday, 6 p.m. - 8 p.m, Geschw.-Scholl-Pl. 1 (A) - A 015
Tutorials: October 24, 2019 until February 6, 2020
Lecture and tutorial in English.
Topics:
- Some Basics
- Portfolio Selection
- Capital Asset Pricing Models
- Index Models
- Portfolio Selection Based on Down-Side Risk
Target Audience: Master and doctoral students in economics, business, statistics, mathematics and computer science.
Prerequisites: Working knowledge in mathematics (linear algebra, calculus) and econometrics (Econometrics I) or statistics (linear models).
Course information: All relevant material and information regarding the course can be accessed through Moodle here.
The password required to enroll into the Moodle course will be announced in lectures and exercises.
Literature
- Elton, E., Gruber, M.J., Brown, S. J., Goetzmann, W. N.: Modern Portfolio Theory and Investment Analysis, Wiley, 6. Auflage, 2003.
- Meucci, A.: Risk and Asset Allocation, Springer Finance, 1. Auflage, 2005.
- Theil, H.: Principles of Econometrics, Wiley, 2. Auflage, 1971, S. 46-55 (PCA).
- Handouts