Portfolio Management

Brief description

  • Lagrange Optimization
  • FX Products: spot & forward
  • Fixed income products
  • Fixed income management
  • Options
  • The “Greeks“
  • Hedging

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

Hull John (2018): Options, Futures and other Derivates, Pearson, 10th edition
Philippe Jorion (2007): Financial Risk Manager Handbook, Wiley &Sons, New York, 4th edition

Planned learning activities and teaching methods

Lecture, exercises, examples

Assessment methods and criteria

Continuous assessment (student contributions in class) 49% and final written exam 51%

Prerequisites and co-requisites

Financial Mathematics, Descriptive Statistics, Inferential Statistics, Fixed Income, Options, Equity and Portfolio Selection

Infos

Degree programme

Banking and Finance (Bachelor)

Cycle

Bachelor

ECTS Credits

3.00

Language of instruction

German

Curriculum

Full-Time

Academic year

2024

Semester

4 SS

Incoming

Yes

Learning outcome

After successful completion of the course, students can

  • analyse and evaluate portfolios consisting of various financial instruments according to their risk and return
  • independently create a portfolio according to predefined parameters such as return and risk
  • hedge individual risks in portfolios (e.g. delta, convexity)
  • decide which derivatives can efficiently hedge an existing portfolio

Course code

0229-19-01-VZ-DE-34