Asset Class Equity

Brief description

short review of the most common products in this asset class and characteristic numbers; indices and benchmarks for this asset class; active vs. passive strategies and replication of benchmarks; objective functions and performance measures for this asset class; multiples (ratios), deriving the intrinsic value on the basis of pricing models; quantitative forecast on the basis of the intrinsic value, time-series and factor models; computation of important sensitivity measures for an equity portfolio; computation of the statistical return distribution and of statistical characteristic numbers for an equity portfolio; trading strategies for an equity portfolio; controlling an equity portfolio using derivatives; selection and optimisation for an equity portfolio: performance and attribution analysis of an equity portfolio

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

O’Shaughnessy, J., 2013, What works on wall street: the classic guide to the best-performing investment strategies of all time, 4th ed., McGraw-Hill Education; Greenblatt, J., 2010, The little book that still beats the market: your safe haven in good times or bad, 2nd ed., Wiley

Planned learning activities and teaching methods

Interactive teaching (lecture and discussion)

Assessment methods and criteria

The assessment of the course is based on a project during the course (30 points) and a written final exam (70 points).

Prerequisites and co-requisites

Courses of the 1st semester

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

2.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2024

Semester

2 SS

Incoming

Yes

Learning outcome

After the successful completion of the course, students are able to characterise the asset class equity and lay out the risks associated with this asset class. They can distinguish between growth and value stocks, structure the entire stock market along different risk profiles and relate them to different investment objectives. They are capable of analysing equities based on financial or economical models to validate their current price level. Additionally, they are able to implement forecasting models equities. Based on the results of these forecasting models and incorporate the results in portfolio selection. Finally, they have the ability to conduct performance and attribution analyses for equities.

Course code

0613-09-01-BB-EN-15