Seminar für Finanzökonometrie




Financial Econometrics: Portfolio Analysis

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

Tuesday, 4 p.m. -  6 p.m, Schellingstr. 3 (S) S 007

Lectures: October 17, 2017 until February 6, 2018

Tutorial (Christoph Berninger)

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

Tutorials: October 26, 2017 until February 8, 2018


  • 02.11.2017: The lecture on tuesday the 7th of November will be postponed.
  • 02.11.2017: The lecture on tuesday the 14th of November will be held by Mr. Nauhauser and Mr. von Bremen from the "Verbraucherzentrale Baden-Württemberg e.V.". The topic is: "Protection of investors".
  • 16.10.2017: The first tutorial takes place on thursday the 26th of october!

Lecture and tutorial in English.


  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: 08.02.2018, 16:00 - 18:00

Location: Schellingstr. 3, S 002

Duration: 120 min

Retake Exam:

Date: 05.04.2018, 14:00 - 16:00

Location: E 004 (Main building)

Duration: 120 min

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