Seminar für Finanzökonometrie




Financial Econometrics: Portfolio Analysis

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

Tuesday, 4 p.m. -  6 p.m,  Geschw.-Scholl-Pl. 1 (B)/1.OG - B 106

Lectures: October 13, 2015 until February 2, 2016

Tutorial (Fabian Spanhel)

Thursday, 6 p.m. -  8 p.m,  Amalienstr. 73A - 211

Tutorials: October 22, 2015 until February 4, 2016

Lecture and tutorial in English.


  • 08.05.2016: The grades for the resit exam are posted in the room in front of the secretary's office. If you want to have a look at your resit exam (or want to obtain your formulary) write an email to Mr. Spanhel by no later than May 15, 2016.
  • 26.03.2016: The resit exams takes place on April 29, 2016, 2-4 p.m. Please register for the exam (see below).
  • 23.02.2016: You can have a look at your exam on March 2, from 3-4 p.m, in room number 152. For this purpose, please write an email to Mr. Spanhel by no later than March 1, 2016. 
  • 16.02.2016: The grades for the exam are posted in the room in front of the secretary's office. The resit exam takes place at the beginning of the next semester, check the homepage for updates! 
  • 20.01.2016: Solutions for problem statement 5 have been uploaded. We continue with problem statement 6 in the next tutorial. Please register for the exam (see below).


  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 27, 2016.

Date: April 29, 2016. 2:00-4:00 pm.

Place: LMU Hauptgebäude, Geschwister-Scholl-Platz 1, 80539 München, Room B106.

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

Problem statement 3, solution for problem c) iv)