Asset Management

This course covers the main topics of asset management and the investment process. It provides an overview of the investors’ preferences as well as a broad range of available asset classes and their risk and return characteristics. Within this framework the optimal asset allocation is derived and portfolio insurance strategies are implemented. The course focuses, then, on stock portfolio management including the various investment philosophies and the comparison between active and passive management. Finally, it gives insights into the field of transaction management and covers performance measurement methods. The course is structured as follows:

1. Investors‘ Preferences and Investment Restrictions

2. Asset Classes and Allocation

3. Stock Portfolio Management

4. Transaction Management and Best Execution

5. Portfolio Performance Evaluation and Attribution

The final case study covers the analysis of an active stock portfolio management strategy based on historical returns. The students take over the role of a portfolio management advisor and are asked to show their skills by illustrating whether it is worthwhile to consider a value investment approach. The performance of the value portfolio is compared to the market portfolio for the sample period from July 1951 to September 2017. The results must be handed as a paper and must be presented in class.

Portfolio- und Kapitalmarkttheorie, Nutzentheorie

Arnott, Robert D. Bernstein, Peter L. (2002): What Risk Premium Is "Normal"?, Financial Analysts Journal 58, 64-85. Beninnga, Simon (2006): Principles of Finance with Excel, New York et al.Bodie, Zvi / Kane, Alex / Marcus, Alan J. (2014): Investments, 10th EditionElton, Edwin / Gruber, Martin / Brown, Stephen Goetzmann, William (2003): Modern Portfolio Theory and Investment Analysis, 6th edition, New York et al.Grinold, R.C. / Kahn, R.N. (2000): Active Portfolio Management, McGraw-Hill.

Teaching & Case Study

Course Grading:
Exam (50 %), Case Study (50 %)

50% of the overall grade in the International Finance Module

Course International Capital Markets and Derivatives (recommended)

90