Event
Empirical Finance [WS192500001]
Lecturers
Organisation
- Institut für Finanzwirtschaft, Banken und Versicherungen
Part of
Appointments
- 17.10.2019 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 24.10.2019 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 31.10.2019 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 07.11.2019 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 14.11.2019 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 21.11.2019 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 28.11.2019 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 05.12.2019 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 12.12.2019 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 19.12.2019 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 09.01.2020 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 16.01.2020 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 23.01.2020 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 30.01.2020 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
- 06.02.2020 11:30 - 13:00 - Room: 20.30 Seminarraum -1.017 (UG)
Note
The aim of this course is to introduce the student to empirical data work in financial economics and investments. Students will learn and implement modern portfolio theory and the most important concepts to estimate expected returns and volatility.
The course covers several topics, among them:
Mean-Variance Portfolio Optimization
Modeling Distribution of Asset Returns: Factor Models, ARMA-GARCH
Monte-Carlo Simulation
Parameter Estimation with Maximum Likelihood and Regressions
At the core of this lecture is the work on modern portfolio theory of Markowitz. Students will learn how to allocate investment opportunities to an optimal portfolio under investment constraints. To obtain the necessary inputs to this framework, students will revisit statistical concepts such as linear regression and maximum likelihood estimation to estimate expected returns and volatilities with econometric time series models.
The total workload for this course is approximately 180 hours.