Seminar für Finanzökonometrie




Financial Econometrics: Portfolio Analysis

Lecture (Prof. Stefan Mittnik, Ph.D.)

Tuesday, 4 p.m. -  6 p.m,  Amalienstr. 73A - 112

Lectures: October 7, 2014 until January 27, 2015

Tutorial (Fabian Spanhel)

Thursday, 6 p.m. -  8 p.m,  Amalienstr. 17A - A105

Tutorials: October 16, 2014 until January 29, 2015

Lecture and tutorial in English.


  • 29.04: The results for the resit exam are available - have a look at the seminar's notice-boards in front of the secretary's office.
  • 12:03: The resit exam takes place on April 10, 2015. See below for further information.
  • 26.02: The results for the exam are available - have a look at the seminar's notice-boards in front of the secretary's office. If you are interested in having a look at the exam, you may visit the tutor on March 11. For that purpose,  send an email to the tutor.
  • slides: Portfolio Selection: The Practice


  1. Some Basics
  2. Portfolio Selection
  3. Capital Asset Pricing Models
  4. Index Models
  5. 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).

Resit Exam (6 ECTS):

Registration: Please register for the examination and send the registration form to with subject "registration exam portfolio analysis" by no later than April 5th, 2015.

Date: 10.04.2015, 18:00-20:00

Place: B006 (main building)

Duration: 120 minutes

Auxiliary material: Calculator, handwritten formulary on 1 sheets (2 pages) of DIN A4 paper. Note that a formulary consists of formulas and is not supposed to be a transcription of the tutorial/lecture. Titles are allowed to a minor degree but text or some kind of shorthand is not permitted. The formulary must be handed in.

For identification issues, please bring along your student ID as well as your personal ID.


  • 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

Problem Sets:

Click here to download zipped problem sets.

Pseudo exam questions