040642 SE Seminar Portfolio Management (MA) (2023S)

In order to provide practical understanding of the concepts of portfolio management, the Portfolio Management Program was begun in 2003 in Vienna, Austria. This is one of the unique programs in the entire European continent.
Students can apply for admission from finance programs at the WU, or a program at the University of Vienna (Faculty of Economics, Business and Statistics or Mathematics or Computer Science) with emphasis on finance or econometrics or financial mathematics,or students in financial mathematics or econometrics at the TU.
The participants have the opportunity to manage real money in the form of a managed portfolio. In doing so, they can structure the portfolio in order to achieve an optimal risk-return objective. There are three managed funds, each having an initial amount greater than €1 million. One fund is managed in an entrepreneurial style as utilized by the professionals at ZZ Vermögensverwaltung, a second fund is managed according to macro finance principles, and a third fund is managed quantitatively to harvest risk premia.
The members of the PMP proceed in two distinct phases. In the first year, students are "analysts"; their main responsibility is to work on research projects on behalf of their managers. Each analyst is expected to achieve expertise and specialize on either one or two asset classes.
After the first year, successful students will become managers of their funds. They will then be responsible for the account management and strategic decisions. The goal of the program is to further the interaction between scientific theory and actual practices.
Lernergebnisse:
State-of-the-art academic knowledge in the area of portfolio management.
State-of-the-art of the practice of portfolio management, including asset allocation, risk management, and knowledge of the legal and tax environment.
Gain knowledge of tools, e.g. Bloomberg, Reuters, Datastream, R etc.
Sharpen analytical skills. Investment management involves structured and critical judgement. Learn to form return expectations and develop a coherent risk perspective. Learn to distinguish innovations from fads.
Train capability for teamwork. Students are organized in groups of analysts and managers, and are responsible for one out of three portfolios.
Lehr-/Lerndesign:
There are weekly meetings, typically scheduled on evenings, starting at 17:30. These meetings have the following structure.
1. Manager meetings: At these meetings, one person from the manager group of each portfolio presents the fund strategy and decisions since the last meeting. After each manager presents, the presentation will be critiqued by another manager (the discussant) from another fund, followed by a general discussion.
2. 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).
3. '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.
4. 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.
5. 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.