Lecture and Exercise (6 ECTS, 4 Sh)
The course is offered in the summer term.
Targets:
Students understand the relevance of fundamental theories of investment valuation for common investment strategies and methods. They are able to apply and critically assess different methods for the valuation of risk-bearing financial securities. Students are able to select adequate performance measures depending on the objective. Interest-bearing financial securities can be valued against the background of various yield curves. Key methods for measuring risk in fixed-income securities can be described, as well as basic instruments for risk management of risk-bearing financial securities, fixed-income securities and portfolios.
Content:
Equilibrium models, time and risk dimensions of investments, information efficiency, portfolio theory, capital asset pricing model, arbitrage pricing theory and multifactor models, portfolio management and performance measurement, fixed income fundamentals, interest rates and yields, fixed income risk measures, risk management for equity and fixed income, cost of capital.
Contact person: Patrick Rank