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Portfolio Selection under Uncertainty – Portfoliowahl unter Risiko (Master - Topic)
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- theoretical aspects of portfolio choice: Markowitz paradigm
- estimation of the optimal portfolio weights under uncertainty: plug-in vs. shrinkage estimators
- empirical illustration for a real data set
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Brandt, Michael W., Portfolio choice problems, in Y. Ait-Sahalia and L.P. Hansen (eds.), Handbook of Financial Econometrics, Volume 1: Tools and Techniques, North Holland, (2010), 269-336. |
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Multi-Period Portfolio Selection – Mehrperiodische Portfoliowahl (Master - Topic)
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- expected utility maximization and Bellman equation
- optimal dynamic portfolio selection for different utility functions
- estimation of unknown parameters of optimal multi-period portfolio weights
- econometrical comparison study between single and multi-period portfolio strategies (simulation or empirical)
Brandt, Michael W., Portfolio choice problems, in Y. Ait-Sahalia and L.P. Hansen (eds.), Handbook of Financial Econometrics, Volume 1: Tools and Techniques, North Holland, (2010), 269-336. Li, D., and W. L. Ng, (2000), Optimal dynamic portfolio selection: multiperiod mean-variance formulation, Mathematical Finance 10, 387-406. Pennacchi, G., (2008), Theory of Asset Pricing, Pearson/Addison-Wesley: Boston.
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Time Series Models in Finance - Zeitreihenmodelle für Finanzmärkte (Bachelor/Master - Topic)
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- definition of covariance (weak) stationary
- auto-covariance and auto-correlation function
- autoregressive integrated moving average (ARIMA) and generalized autoregressive conditional heteroscedasticity (GARCH) models
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Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31: 307–327. Hamilton, J. (1994). Time series analysis, Princeton University Press, New Jersey. Ruppert, D. (2004). Statistics and finance. New York. Springer. Schlittgen, R (2012). Angewandte Zeitreihenanalyse mit R. 2nd ed. München. Oldenbourg. Engle, R. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation. Econometrica 50: 986–1007. |