| Instructors: | em.o.Univ.Prof. Dr. Josef Zechner |
| Type: | PI |
| Weekly hours: | 2 |
| Members (max.): | 15 |
| Registration period: | 02/05/10 to 02/28/10 |
- Class objective(s) (learning outcomes)
- Learning outcome should be a thorough understanding of modern investment theory and its application in asset management. Topics include asset allocation, performance evaluation and alternative investments.
- Prerequisites according to degree program
- The students must have passed grades in the courses
Grundkurs I und II der SBWL "Internationale Finanzierung" und "Investmentbanking und Katallaktik". - Teaching and learning method(s)
- Presentation of course material by the instructor using power point transparencies. Analysis and solutions of problems related to the course material by the instructor. Analysis and solutions of assigned problems by students. Class room discussions.
Notes can be downloaded at "https://learn.wu-wien.ac.at/". - In case of restricted admission; selection criteria
- The students must have passed grades in the courses
Grundkurs I und II der SBWL "Internationale Finanzierung" und "Investmentbanking und Katallaktik". - Criteria for successful completion
- Class room participation: 10%
Solution of problem sets in class: 20%
Midterm Exam: 30%
Final Exam: 40%To pass the course students need at least 50% of the overall available points.
- Availability of instructor(s) for contact by students
- Office hours: http://www.wu-wien.ac.at/ifi/now
Tel: +43 1 31336 6301
| Day | Date | Time | Room |
|---|---|---|---|
| Monday | 03/08/10 | 09:30 AM - 11:00 AM | S4 (H46) |
| Tuesday | 03/09/10 | 09:00 AM - 10:30 AM | S4 (H46) |
| Monday | 03/15/10 | 09:30 AM - 11:00 AM | S4 (H46) |
| Tuesday | 03/16/10 | 09:00 AM - 10:30 AM | S4 (H46) |
| Monday | 03/22/10 | 09:30 AM - 11:00 AM | S4 (H46) |
| Tuesday | 03/23/10 | 09:00 AM - 10:30 AM | S4 (H46) |
| Tuesday | 04/20/10 | 09:00 AM - 10:30 AM | S1 (H46) |
| Monday | 04/26/10 | 09:30 AM - 11:00 AM | S4 (H46) |
| Tuesday | 04/27/10 | 09:00 AM - 10:30 AM | S4 (H46) |
| Monday | 05/03/10 | 09:30 AM - 11:00 AM | S4 (H46) |
| Tuesday | 05/04/10 | 09:00 AM - 10:30 AM | S4 (H46) |
| Monday | 05/10/10 | 09:30 AM - 11:00 AM | S4 (H46) |
| Tuesday | 05/11/10 | 09:00 AM - 10:30 AM | S4 (H46) |
| Monday | 05/17/10 | 09:30 AM - 11:00 AM | S4 (H46) |
| Monday | 05/31/10 | 09:30 AM - 11:00 AM | S1 (H46) |
This course deals with modern investment theory and its application in asset management. Topics include asset allocation, performance evaluation and alternative investments.
Following an introduction we will first define asset allocation and the main asset classes. Next we assess the importance of the asset allocation decision for asset management. This requires a concept for measuring the contribution of the asset allocation decision towards overall portfolio performance. Thus, we introduce the concepts of performance evaluation and performance attribution.
After we have gained an understanding of the importance and contribution of asset allocation towards portfolio performance, we introduce a consistent theoretical framework for asset allocation, based on the Black-Litterman model.
The next step is to discuss predictability in the returns of asset classes. In particular we will discuss the effect of the macro economy on returns of asset classes.
We will then move on to introduce the main alternative asset classes: hedge funds, private equity and commodities. The course will conclude with a discussion of recent trends in asset management and a review of the main concepts.
Bodie, Z., A. Kane, and A. J. Marcus: Investments, McGraw-Hill/Irwin, New York., 7th ed., 2007; Content relevant for class examination: Keine Angabe; Content relevant for degree examination: Keine Angabe; Recommendation: Stark empfohlen (aber nicht absolute Kaufnotwendigkeit)
Robert Haugen: Modern Investment Theory, Prentice Hall, 5th edition,, 2001; Content relevant for class examination: Keine Angabe; Content relevant for degree examination: Keine Angabe; Recommendation: Stark empfohlen (aber nicht absolute Kaufnotwendigkeit)
David Luenberger: Investment Science, Oxford University Press, 1998; Content relevant for class examination: Keine Angabe; Content relevant for degree examination: Keine Angabe; Recommendation: Referenzliteratur
Mark Grinblatt and Sheridan Titman: Financial Markets and Corporate Strategy, McGraw-Hill/Irwin, New York., 2002; Content relevant for class examination: Keine Angabe; Content relevant for degree examination: Keine Angabe; Recommendation: Referenzliteratur
Back