040642 SE Seminar Portfoliomanagement (MA) (2020W)
- Registration is open from Mo 14.09.2020 09:00 to We 23.09.2020 12:00
- Registration is open from Mo 28.09.2020 09:00 to We 30.09.2020 12:00
- Deregistration possible until Sa 31.10.2020 12:00
Classes will be streamed for students who cannot participate physically. Both students who are physically in class and students participating online are expected to actively contribute. Presentation slides and solved assignments have to be uploaded before class.
Attendance is required. A minimum of 60% of attendance over the two-year period is required for a passing grade.
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Weitere Informationen: https://learn.wu.ac.at/vvz/20w/0852
Aims, contents and method of the course
Assessment and permitted materials
Minimum standard: 60% attendance of all PMP meetings over two years2. Presentations
20% (individual grade)3. Discussions
20% (individual grade)4. Portfolio performance and risk management
20% (10% Sharpe ratio + 10% absolute return) based on performance since portfolio takeover in May5. Reporting (controlling, monthly reports, factsheets, ...)
20% (same grade to team)6. Continuous assessment
20% (e.g., based on meetings with tutors)Analyst evaluation is based on the following:1. Class attendance
Minimum standard: 60% attendance of all PMP meetings during the year2. Attended data trainings
Minimum standard: Bloomberg Market Concepts Certificate3. Presentations
30% (individual grade)4. Technical meetings
20% (individual grade)5. Portfolio performance and risk management
10% (as above for managers, based on Sharpe ratio and absolute return)6. Reporting (controlling, monthly reports, factsheets)
20% (same grade to team)7. Continuous assessment
20% (e.g., based on meetings with tutors)
Minimum requirements and assessment criteria
a financial economics program (KFK) from the Uni Wien
an emphasis on financial mathematics or econometrics in the study of technical mathematics at the TU
a Doktorat or PhD program in finance at one of the above three institutions
Further, students should be in the final phase of their bachelors studies with a concrete plan to enter a Masters program at one of these institutions in Vienna.Students will be selected after an application period and a group interview. They will be judged for their ability to work in teams and for their ability to engage in the practical aspects of asset management. Above all else the participants must want to achieve the greatest possible success for their portfolio performance.As this is a two year program and one that requires active engagement, applicants who have already begun a Masters program will not be accepted. Further full time employment is not possible for participants in the program.
Analyst meetings. At these meetings, one of the analysts from each fund presents the results of their research project. It will be important to show how this research is potentially useful (or not) to the fund. The analyst presentation will be graded by one of the instructional staff of the PMP program (professor or tutor).
'Expertengespraech'. There will be a guest speaker who will provide a talk about a specific subject. These will be leaders from either industry or academics.
Technical meeting. One of the professors will lead a specific discussion of a particular analytic topic. This is designed to train analysts in the quantitative methodologies of successful portfolio management. One analyst from each fund will present the results from the analytical exercise that forms part of the assignment. This will be graded by one of the instructional staff.
Special events. Some special events are anticipated such as the program graduation event or opportunities to network with practitioners or alumni.
In addition, students are expected to regularly organize group meetings with their tutor.
Autor/in: Antti Ilmanen: Titel: Expected Returns. An Investors Guide to Harvesting Market Rewards
Autor/in: Gregory Connor, Lisa R. Goldberg & Robert A. Korajczyk: Titel: Portfolio Risk Analysis