Asset Class Equity

Lehrinhalte

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

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

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

Lern- und Lehrmethode

Interactive teaching (lecture and discussion)

Prüfungsmethode

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

Voraussetzungen laut Lehrplan

Courses of the 1st semester

Schnellinfos

Studiengang

Quantitative Asset and Risk Management (Master)

Akademischer Grad

Master

ECTS Credits

2.00

Unterrichtssprache

Englisch

Studienplan

Berufsbegleitend

Studienjahr, in dem die Lerneinheit angeboten wird

2025

Semester in dem die Lehrveranstaltung angeboten wird

2 SS

Incoming

Lernergebnisse der Lehrveranstaltung

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.

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-15