Module Code Module Name Semester

C12_Portfoliomanagement and Financial Analysis 5

Term Type Niveau Modulstatus
WS 21/22 Optional/Compulsory 3
module
ECTS-Credits Taught units/semester Private study time
6.0 60.0 L / 45.0 h 135.0 h (9h/week)

Modul coordinator
Dipl.-Ing. Mag. Dr. Sebastian Stöckl

Content
The Investment Process, Financial and Portfolio Mathematics, Risky Assets, Mean-Variance Portfolio
Theory, Index-Models, CAPM, APT, Multifactor Models, Equity and Fixed Income Security Analysis,
Term Structure of Interest Rates, Efficient Market Hypothesis

Learning Outcomes
Students...
Professional competence
• Know the basic asset classes and their respective financial instruments.
• Know the difference between strategical and tactical asset allocation.
• List the requirements and repeat the basic concepts of Mean-Variance Theory.
• Know the difference between Sharpe-Ratio and Information-Ratio
• List the requirements and how to derive the Capital Asset Pricing Model (CAPM).
• Know how to extend the Single-Index-Model to Multi-Factor Models.
• Know the concepts of Arbitrage and how to derive the resulting model of Arbitrage Pricing
Theory (APT).
• Understand the basic financial instruments and their pricing.
• Describe the optimal investment process.
• Understand portfolio statistics and underlying statistical concepts.
• Explain the difference between risky and risk-free assets.
• Describe the outcomes of portfolio theory in a risk-return diagram.
• Understand the concept of risk, its decomposition into unsystematic and systematic risk,
and the effects of (naïve) diversification.
• Understand the concept of beta in the Single-Index Model.
• Understand the concept of beta and the market risk-premium in context of the Capital Asset
Pricing Model.
• Understand the concept of beta and factor portfolios in the Multi-Factor-Model.
• Understand the concepts of Arbitrage.
• Understand why APT is a much more general concept of market equilibrium than CAPM.
• Understand the working and pricing of fixed income securities.
• Understand the term structure of interest rates and their influence on the prices of fixed
income securities.
• Understand the implications of the Efficient Markets Hypothesis on financial markets.
• Calculate the risk and return of financial instruments based on observable market values.
• Calculate the Minimum-Variance-Portfolio.
 • Calculate the optimal risky portfolio.
• Calculate the idiosyncratic and the market-specific risk of a portfolio.
• Calculate an optimal portfolio in the context of Single-Index-Models.
• Calculate the Security Market Line in the CAPM and derive Arbitrage Opportunities thereon.
• Calculate Bond Yields, Duration and other measures of fixed income securities and fixed
income portfolios.
• Know how to design an event study to test and identify flaws of the Efficient Market
Hypothesis.
• Perform financial statement analysis.
• Estimate Index-Models, and how to derive an optimal portfolio in this context.
• Analyze financial instruments in the common context of Mean-Variance Theory.
• Understand the Two-Fund Separation Theorem and derive the Capital Market Line.
• Find Arbitrage Opportunities.
• Relate different concepts of market equilibrium.
• Identify and exploit arbitrage opportunities.
• Identify the efficiency of financial markets.
• Combine different assets in an optimal portfolio.
• Relate the concept of the risk-return trade-off to the optimal allocation of assets.
• Relate the concept of the Efficient Market Theory to observed market conditions.
• Evaluate the different models in the context of changing market conditions.
• Decide upon investment opportunities by evaluating any type of equity and fixed income
securities.
• Evaluate equity and fixed income instruments.
• Evaluate optimal allocations of assets in the Markowitz Context.

Methodological competence
• Know the requirements for the basic models of portfolio optimization and market
equilibrium theory.
• Understand the implications and flaws of these models.
• Apply these models in changing market conditions.
• Find and use the model needed in a specific situation/setting.
• Apply the models in individual assignments and in a group business game.
• Evaluate outcomes and discuss them critically.
• Understand the applicability and validity of the different models.
• Evaluate models and decide upon which of the models fits their needs best.

Social competence
• Understand and critically discuss the arguments of fellow students.
• Work together in small groups to solve assignments and small examples discussed in class.
• Evaluate the solutions of fellow students; explain carefully why they might be right or
wrong.
• Understand the flaws and problems of fellow students, reaction without offense.
• React to other opinions and defend their solution without being offended.

Personal competence
• Listen carefully, read and repeat, practice until they understand the logic and mathematics
behind models.
• Work together and motivate students who tend to give up as a reaction to the difficulty of
mathematical problems.

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 • Take responsibility and organize/explain solutions to others who have problems and tend to
give up.

Requirements
Financial Decision Making
• Decision Theory (especially Expected utility theory and Mean-Variance theory)
• Quantitative Analysis

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Course number Course Planned semester
Portfoliomanagement and Financial Analysis 5
Semester Type Language Taught units/semester Private study time
WS 21/22 Lecture English 30.0 L / 22.5 h (1.5h/week) 37.5 h (2.5h/week)

Lecturer
Dipl.-Ing. Mag. Dr. Sebastian Stöckl
Prof. Dr. Marco J. Menichetti
Michael Frei
MMMag. Franz Glatzl

Learning Forms
Lecture

Learning Content
Basics of Finance, The Investment Process, Financial and Portfolio Mathematics, Risky Assets, Mean-
Variance Portfolio Theory, Index-Models, CAPM, APT, Multifactor Models, Equity and Fixed Income
Security Analysis, Term Structure of Interest Rates, Efficient Market Hypothesis

Learning Outcomes
Students...
Professional competence
• Apply theoretical concepts in specific examples.
• Transfer concepts into new environments, seek solution possibilities.

Methodological competence
• Know the requirements for the application of basic models of portfolio optimization and
market equilibrium theory.
• Understand the implications and flaws of these models.

Literature
• Bodie, Kane, Marcus (2007): Investments. 10th edition, McGraw-Hill, New York.
• Elton, Edwin J., Martin J. Gruber, Stephen J. Brown, und William N. Goetzmann (2006):
Modern Portfolio Theory and Investment Analysis. 7th edition, Wiley, New Jersey.

Determination / verification of performance

Throughout the lecture we will talk about theory and do examples. You should have a theoretical
understanding of the contents from the lecture and the seminar (where we will do additional
calculations), and to be able to interpret results. The examination takes place as a written exam on
XXXX, 11:30-13:00 (90mins) and/or at another date in the summer term.

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Course number Course Planned semester
Seminar Portfoliomanagement and Financial Analysis 5
Semester Type Language Taught units/semester Private study time
WS 21/22 Seminar English 15.0 L / 11.5 h (1h/11 weeks) 78.5h(7.13h/11weeks)

Lecturer
Dipl.-Ing. Mag. Dr. Sebastian Stöckl
Prof. Dr. Marco J. Menichetti

Learning Forms
Seminar; you will be provided with home assignments every week, that you either have to hand in or
present to your fellow students throughout the class. (Many of these assignments will be guided
examples that do not require you do understand all of the maths behind it, but are intended to give
you a basic understanding of the means required for a professional portfolio manager.)

Learning Content
Time Series Analysis (Statistics and Forecast Possibilities), Investment Process, Financial
Mathematics, Portfolio Statistics, Risk Measures, Portfolio Optimization and Evaluation, Equity and
Fixed Income Portfolios, Derivatives and Hedging, Portfolio and Investment Strategies

Learning Outcomes
Students...
Professional competence
• Apply theoretical concepts in specific examples.
• Transfer concepts into new environments, seek solution possibilities.
Methodological competence
• Transfer theoretical concepts to specific examples/assignments.
• Present the results of your assignments in class.
• Apply concepts and models of portfolio management in practice.
• Recognize your investment environment and accordingly specify your models/settings.
• Evaluate models and decide upon which of the models fits your/the clients' needs.
• Understand applicability and validity of different models.
Social competence
• Present assignment to class, discuss and transfer your solution to others.
• Understand and discuss the arguments of fellow students.
Personal competence
• Presentational skills,
• Feedback skills

Literature
• Stöckl, Sebastian: Tidy Portfoliomanagement in R. Available online at tidy-pm.com.
• Pfaff, Bernhard (2012): Financial Risk Modelling and Portfolio Optimization with R. 1st
edition, Wiley, New Jersey.
• Meucci, Attilio (2009): Risk and Asset Allocation. 1st edition, Springer, Berlin.

Determination / verification of performance

Throughout the seminar you will get homework to prepare either alone or in groups, which you
either have to present or to hand in as a written report. The grade will be determined based on your
homework and presentations.

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