|
Instructors: Prof. Dr. Florentina Paraschiv
Event type:
Seminar / exercise
Org-unit: Corporate Management & Economics
Displayed in timetable as:
Advanced Methods | K
Hours per week:
1,5
Credits:
3,0
Location:
Campus der Zeppelin Universität
Language of instruction:
Englisch
Min. | Max. participants:
10 | 35
Course content:
COURSE CONTENT:
Lecture1: Advances in Portfolio Theory
Lecture2: Extensions of CAPM
Lecture3: Risk Measures
Lectures 4 and 5 will be taught by Mr. Rayan Ayari and will contain practical applications:
- simulation exercise to portfolio theory using Excel; risk measures for the profit and loss profile.
- Implementation of Fama&French model
Deadline for submitting the Group Papers: 31st March 2022.
Educational objective:
- Deepen the theoretical and practical knowledge in advanced portfolio optimization techniques and asset pricing
- Perform in excel a simple exercise for portfolio optimization with a limited number of assets
- Learn basic risk measures in line with requirements from financial regulator
- Perform an empirical analysis of asset returns applying extensions of CAPM -- Fama and French model
Further information about the exams:
EXAM: please form groups of 4 students each to work on your End Term Group Paper Exam. The exam group task will be available after the second lecture and will consist of a practical application to portfolio optimisation and simulation using Excel. Lectures 4 and 5 will guide you stepwise and offer you a clear frame for your calculations. Results must be interpreted in a compact- short group paper.
Modulbeschreibung:
COURSE CONTENT:
Lecture1: Advances in Portfolio Theory
Lecture2: Extensions of CAPM
Lecture3: Risk Measures
Lectures 4 and 5 will be taught by Mr. Rayan Ayari and will contain practical applications:
- simulation exercise to portfolio theory using Excel; risk measures for the profit and loss profile.
- Implementation of Fama&French model
Wenn Sie E-Learning Funktionalitäten nutzen möchten, tragen Sie bitte "Ja" ein.:
Ja
|
