0451 Y2E Portfolio Management - Applications
Univ.Prof. Dr. Otto Randl
Contact details
Weekly hours
Language of instruction
09/01/22 to 09/23/22
Registration via LPIS
Notes to the course
Day Date Time Room
Friday 11/18/22 02:00 PM - 05:30 PM TC.4.14
Friday 11/25/22 02:00 PM - 05:30 PM TC.4.14
Friday 12/02/22 02:00 PM - 05:30 PM TC.4.14
Friday 12/16/22 02:00 PM - 05:30 PM TC.4.14
Friday 01/13/23 02:00 PM - 05:30 PM TC.4.14
Friday 01/20/23 02:00 PM - 05:30 PM TC.4.14
Friday 01/27/23 02:00 PM - 05:30 PM TC.4.14

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.



Learning outcomes
  • 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.
Attendance requirements

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

Teaching/learning method(s)

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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Recommended previous knowledge and skills

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

Availability of lecturer(s)

Email to

Last edited: 2022-11-17