Event

Mandatory:

Andrew Ang (2014): Asset Management: A systematic approach to factor investing, 2014.

Back, K. (2008): Asset Pricing and Portfolio Choice Theory.

Munk (2008): Dynamic Asset Allocation

Complementary:

Campbell, J. and L. Viceira (2002): Strategic Asset Allocation.

Chhabra, A. (2005): Beyond Markowtiz: A comprehensive wealth allocation framework for individual investors, JWM, 7, 8-34.

Merton (1969): Lifetime portfolio selection under uncertainty: The continuous-time case, RES, 51, 247-257

Merton (1971): Optimal consumption and portfolio rules in a continuous-time model, JET, 3, 373-413.

Merton (1990): Optimal investment strategies for university endowment funds, in Continuous-Time Finance.

Viceira (2001): Optimal portfolio choice for long-horizon investors with non-tradeable labor income, JF, 56, 433-470.

Die Lehrveranstaltung wird neu zum Sommersemester 2017 angeboten.