Type:Module
Language:English
ECTS-Credits:4.0
Scheduled in semester:2
Semester Hours per Week / Contact Hours:60.0 L / 45.0 h
Self-directed study time:75.0 h
Module coordination/Lecturers
- Prof. em. Dr. Marco J. Menichetti
(Modulleitung)
Curricula
Master's degree programme in Finance (01.09.2020)Description
> Review of Portfolio Theory and Asset Pricing
> Extensions of the CAPM
> Empirical confirmation/rejection of the CAPM
> Stock Market Anomalies
> Multi-Factor Models
> Investment Strategies
> Performance Evaluation
> Portfolio Execution, Monitoring, Rebalancing and Costs
Lecture Goals
After completion of the module, the students are able to evaluate assets by means of various
models and to illustrate investment procedure. They thereby draw on current knowledge of
capital market research and can show suggestions for solutions while integrating their
theoretical knowledge. Events on the capital market are critically scrutinised in discussions
with instructors and fellow students.
Learning Outcomes
> Students have read and understand the most important literature in empirical asset pricing.
> Students are able to critically evaluate existing literature in the field of empirical asset pricing
> Students understand, can explain and appropriately apply methods used in empirical asset pricing.
> Students are able to effectively communicate research methods and outcomes to their peers.
Qualifications
Admission Requirements
It is recommended to have successfully completed the following modules before enrolling in the Module Asset Pricing & Portfolio Choice:
> Quantitative Finance
> Empirical Finance
Literature
> The course is not based on one explicit textbook, but rather on a series of published finance research articles
Exam Modalities
See lectures within the module.