In this course we will cover topics that match and complement the course "Portfolio Management: Foundations", taught in parallel by Professor Zechner. For each topic, we will bring models to the data. The topics covered are: review of portfolio theory and performance evaluation; equity risk premia; bond risk premia; FX and commodity risk premia; fund strategies.

• Deepen state-of-the-art academic knowledge in the area of portfolio management.
• Gain deeper understanding of models by actually implementing them.
• Get familiar with financial time series.
• Learn to critically assess empirically results.
• Train capability for teamwork.

Full attendance is compulsory. This means that students should attend at least 80% of all lectures, at most one lecture can be missed.

Students have to prepare home assignments, which are usually based on an academic paper, and involve R programming and data work. Students work in small teams with changing team composition.

Grading is based on the following elements:

75% Quality of the submission (report, code, analysis)
25% individual presentations (number and quality of presentations)

There are 6 assignments. Grading is based on the 5 best submissions.

Grading scheme: [0-50): 5; [50-65): 4, [65-80): 3; [80-90): 2; [90-100]:1

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Course content of Portfolio Management: Foundations (to be taken in parallel)

Email to otto.randl@wu.ac.at