Module Catalog Archive

Module Catalog Archive

Course: Portfoliomanagement (5106-612)

Note: Last updated September 2019. Current module catalog in HohCampus.
Persons:
Type of Course:
lecture with exercise
In-Class Hours Per Week:
2
Contents:

This course deals with different asset pricing models including portfolio selction, the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). The lecture focuses on the theoretical foundations of asset pricing models and a thorough understanding of the underlying assumptions of these models. The accompanying tutorials focus on the practical application of asset pricing models. A deeper understanding of portfolio management is fueled by student presentations on specific topics related to asset pricing and the programming of an algorithmic trading system in groups.

Literature:

Markowitz, H. (1952), ?Portfolios Selection?, Journal of Finance, 6, 77-91.
Sharpe, William F. (1964). "Capital asset prices: A theory of market equilibrium under conditions of risk". Journal of Finance, 19, 425?442.
Ross, Stephen (1976). "The arbitrage theory of capital asset pricing". Journal of Economic Theory, 13, 341-360.

Grinblatt / Titman: Financial Markets and Corporate Strategy, 2. Ed., New York, 2002;


Bodie / Kane / Marcus: Investments and Portfolio Management, 9. Ed., New York, 2011

Location:
Hohenheim
Module:

Current module catalog