o What is Finance about?
o Why is Finance relevant?
o What are the main problems we want to solve?
o Discounting/Present Value/Net Present Value overview
o Utility and risk preferences
o Statistical Properties (Expectation, Variance, Covariance, Correlation), Diversification for portfolios
o Mean-Standard Deviation relationship (for 2-Asset-Portfolio and N-Asset-Portfolio)
o Efficient Frontier with and without risk-free asset
o Tangency Portfolio
o Capital Asset Pricing Model
o Beta Estimation
o Empirical Analysis of Efficient Portfolios and the CAPM
o Factor Models
o Decomposition of Risk (systematic – unsystematic risk)
o Estimating Weights of Factor Portfolios
After completing the course, students will be able to
· understand the relationship of risk and return for financial assets.
· calculate the risk and return of financial assets and portfolios.
· utilize diversification for optimal investment choices.
· identify optimal portfolio weights of a set of risky financial assets.
· comprehend the assumptions and shortcomings of the Capital Asset Pricing Model.
· decompose the risk of a financial asset to firm-specific and common factors.
· compute a measure for market-related risk of individual financial assets and portfolios.
Participation is compulsory in the interactive part. There are grade related performance assessments in each interactive unit. There is absolutely no way to get these points if you are not present for the entire unit.
Students need to be admitted to the specialization Finance: Markets, Institutions & Instruments to register for the course.
basic knowledge of Excel or R, basics in Statistics