Seminar für Finanzökonometrie




Financial Econometrics: Portfolio Analysis

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

Tuesday, 4 p.m. -  6 p.m, Geschw.-Scholl-Pl. 1 (A) - A 015

Lectures: October 16, 2018 until February 5, 2019

Tutorial (Christoph Berninger)

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

Tutorials: October 18, 2018 until February 7, 2019

Lecture and tutorial in English.

News: on December 6,Prof. Mittnik wild hold the lecture, instead of the tutorial by Christoph Berninger. On December 5, the lecture will take place as usual.

News: On November 6, Christoph Berninger will hold the tutorial at 4 p.m. in room A015, instead of the lecture by Prof. Mittnik. The lecture will take place at a later date.

On November 8, the tutorial will be hold as usual.


  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: 15.02.2019, 14:00 - 16:00

Location: M118 (main building)

Duration: 120 min

Retake Exam:

Date: 04.04.2019, 10:00 - 12:00

Location: M118 (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