Portfolio Management

Portfolio Management - Fall 2023/2024

In Fall 2023/24, Portfolio Management takes place at the University of Hohenheim in HS 32.

The course is scheduled every Thursday from 4 pm to 5:30 pm during the semester.

The first lecture is on October 19, 2023 at 4 pm (not 4:15 pm).
Thereafter, you have two weeks to decide if you want to take this class and I will register you for the buy/sell presentations afterward. You cannot pass this course without a presentation.
Please see the time schedule in Ilias.

a) General Information

In addition to portfolio selection theory, the course covers more advanced optimization methods based on downside risk measures. Approaches for dealing with the parameter estimation risk are also presented. Furthermore, particular focus of this course is on dealing with the theoretical foundations and a thorough understanding of the underlying assumptions of different asset pricing models including the capital asset pricing model (CAPM), multi-factor models and arbitrage pricing theory (APT). The accompanying tutorials focus on the practical application and on coding in R. A deeper understanding of portfolio management is fueled by student investment proposal presentations. For 20 years, a real portfolio was managed by students of our department. You have to prepare an investment or selling proposition which comprises topics of practical and/or theoretical importance to portfolio management.

b) Course Structure

Basics of Return and Risk
Performance Evaluation and Attribution
Mean-Variance Analysis: Theory and Implementation
Optimal Risky Portfolio and Capital Allocation
Asset Pricing Models (CAPM, Factor Models and APT)
Handling Parameter Estimation Risk
Advanced Optimization Techniques

c) Gast Lectures

This year's guest lectures will be given by Stephan Pilz (Head of Portfolio Management, Sand & Schott Vermögensverwaltung) on Methods of Equity Valuation and Thilo Berchtold (Head of Portfolio Management, Stuttgarter Lebensversicherung a.G.) on Fixed Income Portfolio Management.

d) Requirements:

intermediate knowledge in descriptive statistics (calculation and interpretation of first four moments and linear dependency measures like covariance and correlation)
good calculus and algebra skills (solving maximization and minimization problems, taking derivatives, familiarity with sums, knowledge of matrix calculation)
basic knowledge in econometrics (interpretation of uni- and multivariate regression outputs, assumptions behind regression analysis)
basic knowledge in the statistical software R

e) Grading

The grade comprises 3 components

50% Exam (60 minutes)
30% Investment Proposal for the Portfolio of the Chair (presentation, group work)
20% R coding exercise (single work)

f) Literature:

Bodie, Z.; Kane, A.; Marcus, A.J. (2024): Investments, Mc Graw Hill, New York.

Elton, E.J.; Gruber, M.J.; Brown, S.J.; Goetzmann, W.N. (2017): Modern Portfolio Theory and Investment Analysis, John Wiley & Sons, Hoboken.

Fabozzi, F.J.; Kolm, P.N.; Pachamanova, D.A.; Focardi, S.M. (2007): Robust Portfolio Optimization and Management, John Wiley & Sons, Hoboken.

Poddig, T.; Brinkmann, U.; Seiler, K. (2005): Portfolio Management: Konzepte und Strategien - Theorie und praxisorientierte Anwendungen mit Excel, Uhlenbruch Verlag, Bad Soden.

g) Important Dates:

November 01, 2024 (3pm at the latest) - Deadline for registration (Investment Proposals)
January 09, 2025 - Buy & Sell-Session I (with Prof. Dr. Hans-Peter Burghof)
January 16, 2025 - Buy & Sell-Session II (with Stephan Pilz)
January 23, 2025 - Buy & Sell-Session III (with Thilo Berchtold)
(Attendance is compulsory for all students at the presentations given by their fellow students.)
January 31, 2025 (3pm at the latest) - Deadline Coding Assignment
January 30, 2025 (4:15 to 5:45 pm, HS 32, 60 minutes) - exam (first examination period)
March 20, 2025 (4:15 to 5:45 pm, HS 23, 60 minutes) - exam (second examination period)