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040028 KU Portfolio Management (MA) (2019S)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work


Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first serve).


max. 50 participants
Language: English


Classes (iCal) - next class is marked with N

Wednesday 19.06. 15:00 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Wednesday 19.06. 20:15 - 21:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Friday 21.06. 08:00 - 20:00 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Saturday 22.06. 08:00 - 20:00 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß


Aims, contents and method of the course


This course aims to develop students’ knowledge and understanding of key issues in asset allocation and portfolio composition/management at an advanced level. In particular, the course aims to provide students with the quantitative and qualitative skills necessary for the construction, revision and evaluation of financial portfolios. The course also aims to provide students with the opportunity to develop their ability to challenge current theoretical and empirical research in the field of portfolio management and the implications of such research into alternative portfolio composition and portfolio management strategies. Students will first be introduced to the portfolio formation and asset allocation process. After revisiting the tools of portfolio construction and diversification, students will develop an understanding of equity portfolio management strategies and portfolio performance evaluation. The course will culminate with a discussion of bond portfolio management strategies as well as other fixed income securities.

Course outline:

This course will cover, but will not be limited to, the following topics:
– The Investment Environment
– Portfolio Formation and Asset Allocation
– Utility Theory: Risk Aversion, Mean-Variance, Portfolio Theory and Practice
– Equilibrium in Capital Markets & Quantitative Equity Investing
– Optimal Risky Portfolios & Equity Portfolio Management
– Fixed Income Securities
– Options, Futures and other Derivatives
– Applied Portfolio Analysis & Portfolio Performance Evaluation

Intended Learning Outcomes (ILOs):

After completing the course, all students will be able to:
– Calculate and interpret expected and historical risk and return measures for individual
securities and a portfolio of securities.
– Describe the steps in the portfolio management process and formulate an investment
policy statement.
– Calculate the covariance and correlation between securities and explain how correlation
affects the standard deviation of a portfolio.
– Describe the implications of the major findings of behavioral finance research on
the efficient market hypothesis.
– Construct equity portfolios using passive and active equity portfolio management
– Understand equity investment styles.
– Describe how to monitor and re-balance an equity portfolio.
– Assess portfolio performance.
– Evaluate a portfolio manager’s market timing and security selection skills through
attribution analysis.
– Describe basic fixed income portfolio strategies.

After completing the course, in addition to the learning outcomes above, all graduate
students will be able to:
- Develop, re-balance and evaluate a portfolio that is constructed for a client based
on the client’s objectives and constraints.

Assessment and permitted materials

Learning and Teaching methods
This course is taught in S2019 based on a mixture of lectures, tutorials and laboratories
or computer sessions. Please refer to your timetable for dates, times and locations
of classes, noting that these are subject to change. You should check your timetable

Minimum requirements and assessment criteria

Assessment and Feedback
The course will be assessed based on written (final, homework, quizzes) and oral (presentations,
active participation) types of examinations. Specifically:
– The final exam will carry 50% of the full mark.
– Homework will carry 25% of the full mark.
– Active participation will carry another 25% of the full mark.

Examination topics

see course description above

Reading list

Bellow are the main textbooks where we will refer throughout the course. More readings
will be posted at the end of the lecture notes for each topic covered:
– Bodie Z., Kane A., and A. Marcus (2014). Investments, 10th (Global) Edition. McGraw-
– Elton E., Gruber M., Brown S., and Goetzmann W. (2014). Modern Portfolio Theory
and Investment Analysis, 9th Edition.
– Pedersen, L., H., (2015). Efficiently Inefficient. Princeton University Press.
– Hull, J., C., (2012, 2018). Options, Futures, and Other Derivatives, 8th / 9th Edition.

Association in the course directory

Last modified: Mo 07.09.2020 15:28