Asset Management

What it is about

In this module you will learn the theoretical foundations of asset management as well as practical applications to solve typical tasks (e.g., portfolio optimization). By the end you will be able to apply risk and utility concepts, optimize portfolios under different constraints, use basic asset-pricing models, and measure portfolio performance.

What you will be able to do

• Understand utility and relate it to risk preferences
• Compute basic continuum-of-utility measures (absolute/relative risk aversion, expected utility, certainty equivalent, risk premium)
• Compute optimal portfolio allocation in the Markowitz mean-variance framework
• Understand Capital Asset Pricing Model (CAPM) fundamentally
• Apply CAPM and variants and recognize their limits
• Apply additional asset-pricing models and differentiate their use cases
• Apply methods and process of portfolio performance measurement

What the module consists of

• LectureConveying fundamentals, theoretical concepts and practical examples
• TutorialsApplication of theory to concrete tasks; demonstration of portfolio optimization with Excel
• Guest lecturesInsights into practice

Teaching method

• LectureIntroduction to basic knowledge, theories and examples
• Discussions / active participationDeepening understanding through controversial discussions
• Exercises with practical applicationConcretization of what was learned and training of practical skills (e.g., Excel Solver)
• Guest lecturesPractitioner insights and applications