Syllabus
Registration via LPIS
Day | Date | Time | Room |
---|---|---|---|
Wednesday | 10/04/23 | 09:00 AM - 12:30 PM | D3.0.225 |
Wednesday | 10/11/23 | 09:00 AM - 12:30 PM | TC.1.01 OeNB |
Wednesday | 10/18/23 | 09:00 AM - 12:30 PM | TC.1.01 OeNB |
Wednesday | 10/25/23 | 09:00 AM - 12:30 PM | TC.1.01 OeNB |
Wednesday | 11/08/23 | 08:00 AM - 09:00 AM | LC.-1.038 |
Wednesday | 11/08/23 | 09:00 AM - 12:30 PM | TC.1.01 OeNB |
Wednesday | 11/15/23 | 09:00 AM - 12:30 PM | TC.1.01 OeNB |
Monday | 11/20/23 | 01:00 PM - 08:00 PM | TC.4.28 |
Wednesday | 11/22/23 | 09:00 AM - 11:00 AM | TC.-1.61 (P&S) |
The courses Asset/Risk Management I and II deal with modern investment theory and its application to portfolio and risk management.
Topics of Asset/Risk Management II include:
- Corporate bonds
Key characteristics (seniority, credit ratings, covenants, maturity, currency denomination); credit risk premium; valuation models. - Commodities
Empirical facts (return distributions, backwardation vs. contango); time-varying commodity risk premia. - Currency risk premia
Carry and other foreign exchange (FX) risk premia. - Asset allocation and dynamic strategies
Incorporating views into asset allocation decisions; volatility managed portfolios; return guarantees; asset liability management. - Delegated portfolio management
Agency problems; mutual funds and exchange traded funds; hedge funds; private equity funds; retirement savings. - Environmental, social and governance (ESG) criteria.
ESG preferences and return expectations; corporate social responsibility; exit versus voice; empirical evidence.
Students who have successfully completed this course will have acquired the following skills:
- form expectations on risk premia for the asset classes corporate bonds and commodities as well as on currency risk premia
- implement asset allocation techniques and dynamic portfolio strategies
- understand instruments for and pitfalls of delegated portfolio management
- understand how to cater for green investment preferences and assess likely implications on the risk/return tradeoff
In addition, students will have learned to
- analyze portfolio problems based on real-world data using R
- summarize and professionally present solutions to complex portfolio problems
Full attendance is compulsory. This means that students have to attend at least 80% of all lectures.
The course will consist of a mix of regular lectures, class room discussions, and analyses of assignments. The lectures will be largely based on the instructors’ lecture notes; additional readings will be assigned. There will be an assignment to practice the concepts developed during the lectures. This will cover the topics commodity risk premia, FX risk premia, asset allocation, and/or hedge fund strategies. The assignment will involve quantitative analyses using R, to be solved individually.
Components:
- 20% individual assignment (points will be based on the quality of the solution and an individual examination)
- 30% mid-term exam
- 10% in-class participation: 0-2 points per class are assgined for answering questions by the instructor and contributions to in-class discussion and/or short closed-book online quizzes taken from the classroom.
- 40% final exam
Grading:
- [90 - 100]
- [80 - 90)
- [65 - 80)
- [50 - 65)
- < 50%
Please log in with your WU account to use all functionalities of read!t. For off-campus access to our licensed electronic resources, remember to activate your VPN connection connection. In case you encounter any technical problems or have questions regarding read!t, please feel free to contact the library at readinglists@wu.ac.at.
Back