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261-5111-00L 3 Credits MSC D-ITET , D-MATH , D-INFK
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Asset Management: Advanced Investments (University of Zurich)

No enrolment to this course at ETH Zurich. Book the corresponding module directly at UZH. UZH Module Code: MFOEC207 Mind the enrolment deadlines at UZH:
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Last Updated: 2026-02-05 15:41:54

Abstract

Comprehension and application of advanced portfolio theory

Objective

Comprehension and application of advanced portfolio theory

Content

The theoretical part of the lecture consists of the topics listed below. - Standard Markowitz Model and Extensions MV Optimization, MV with Liabilities and CAPM. - The Crux with MV Resampling, regression, Black-Litterman, Bayesian, shrinkage, constrained and robust optimization. - Downside and Coherent Risk Measures Definition of risk measures, MV optimization under VaR and ES constraints. - Risk Budgeting Equal risk contribution, most diversified portfolio and other concentration indices - Regime Switching and Asset Allocation An introduction to regime switching models and its intuition. - Strategic Asset Allocation Introducing a continuous-time framework, solving the HJB equation and the classical Merton problem.

General Information

Language
English
Levels
MSC
Frequency
Yearly recurring

Examination

Type
graded semester performance
Registration modalities, date and venue of this performance assessment are specified solely by UZH.

Course Components

Type Title Time & Place Hours
lecture Asset Management: Advanced Investments (University of Zurich)
**Course at University of Zurich**
No time listed 2 h weekly

Offered In