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) - B 015

Lectures: October 18, 2016 until February 7, 2017

Tutorial (Christoph Berninger)

Thursday, 6 p.m. -  8 p.m,  Geschw.-Scholl-Pl. 1 (B) - B 015

Tutorials: October 27, 2016 until February 9, 2017

Lecture and tutorial in English.

News: On Tuesday, Feb 7, 4 p.m. - 6 p.m, Christoph Berninger will offer a question and answer session for the exam on Feb 11, 2017.


  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).

Course information: All relevant material and information regarding the course can be accessed through Moodle.

The password required to enroll into the Moodle course will be announced in lectures and exercises.

Exam (6 ECTS):

Date: 11.02.2017 10:00 - 12:00

Place: LMU Main Building (Hauptgebäude), Room M 018

Duration: 120 minutes

Retake Exam:

Date: 19.04.2017 10:15 - 12:15

Place: LMU Main Building (Hauptgebäude), Room A 021

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