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Instructors: Dr. Svatopluk Kapounek
Event type:
Seminar
Org-unit: Corporate Management & Economics
Displayed in timetable as:
Alt. Investments
Hours per week:
3
Credits:
6,0
Note: In your exam regulations, differing credits may have been specified.
Location:
Campus der Zeppelin Universität
Language of instruction:
Englisch
Min. | Max. participants:
10 | 35
Priority scheme: Standard-Priorisierung
Course content:
The main task of this course is to provide knowledges and skills in the field of financial management with a special emphasis on alternative investments. The course will focus on the complicated decision making process in the field of international investment management, creation of the investment and hedging strategies at the international financial markets:
1. Asset Allocation and Optimization with Alternative Investments
2. Selected Portfolio Strategies - 60/40, Small Cap Vs. Mid Cap Vs. Large Cap Stocks
3. Structured Investment Products and Credit Derivatives (Credit Default SWAPs, CDS)
4. Alternative Investments - Real Estates, Commodities, Digital Currencies
5. Alternative strategies - Exchange Trade Funds, Private Equity, Hedge Funds
6. Portfolio Performance Evaluation and Attribution
Educational objective:
The aim of the course is to bridge the huge gap that exists between the industry and academia by bringing real world practical domain knowledge and expertise to education. The students will obtain skills to work with the basic and alternative investment tools at the international financial markets. They will receive knowledges about the alternative investments strategies and portfolio optimization. Finally, they will be able to employ modern trading algorithms to buy and sell securities and alternative investments, with a special emphasize on big data.
Further information about the exams:
The students will provide seminal paper on the selected topic using theoretical background and empirical analysis.
Mandatory literature:
Solnik, B., McLeavey, D. Global Investments. Pearson Education, 2009, ISBN: 0-321-55212-1.
Fabozzi, F., J., Markowitz, H., M. The Theory and Practice of Investment Management. Wiley Publishing, 2011, ISBN: 978-0-470-92990-2.
Litterman, B. et al. Modern Investment Management. Wiley Publishing, 2003, ISBN: 978-0-471-12410-8
Fernandez, P. 2017. Is It Ethical to Teach That Beta and CAPM Explain Something? (October 11, 2017). Available at SSRN: https://ssrn.com/abstract=2980847
Armstrong, W.J., Knif, J., Kolari, J.W., Pynnönen, S. 2012. Exchange risk and universal returns: A test of international arbitrage pricing theory. Pacific-Basin Finance Journal 20, 24–40
Ross, S.A. 1976. The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13, 341-360.
Fama, F.E., French, K. R. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.
Philips, C.B., Kinniry, F.M. 2012. Determining the appropriate benchmark: A review of major market indexes. Vanguard Research Paper.
Morningstar, 2013. Total Portfolio Performance Attribution Methodology. Morningstar Research Paper.
Fama, F.E., French, K.R. 2015. A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.
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