Event
Portfolio and Asset Liability Management [SS212520357]
Type
lecture (V)Online
Term
SS 2021SWS
2Language
EnglischAppointments
0Lecturers
Organisation
- KIT-Fakultät für Wirtschaftswissenschaften
Part of
- Brick Portfolio and Asset Liability Management | Industrial Engineering and Management (M.Sc.)
- Brick Portfolio and Asset Liability Management | Economics Engineering (M.Sc.)
- Brick Portfolio and Asset Liability Management | Information Systems (M.Sc.)
- Brick Portfolio and Asset Liability Management | Information Engineering and Management (M.Sc.)
- Brick Portfolio and Asset Liability Management | Economathematics (M.Sc.)
Literature
To be announced in the lecture
Note
Learning objectives:
Knowledge of various portfolio management techniques in the financial industry.
Content:
Portfolio theory: principles of investment, Markowitz- portfolio analysis, Modigliani-Miller theorems and absence of arbitrage, efficient markets, capital asset pricing model (CAPM), multi factorial CAPM, arbitragepricing theory (APT), arbitrage and hedging, multi factorial models, equity-portfolio management, passive strategies, active investment
Asset liability: statistical portfolio analysis in stock allocation, measures of success, dynamic multi seasonal models, models in building scenarios, stochastic programming in bond and liability management, optimal investment strategies, integrated asset liability management
Workload:
Total workload for 4.5 CP: approx. 135 hours
Attendance: 30 hours
Preparation and follow-up: 65 hours
Exam preparation: 40 hours
Exam preparation: 40 hours