Modul
Empirical Finance [M-WIWI-105035]
Credits
9Recurrence
Jedes WintersemesterDuration
1 SemesterLanguage
EnglishLevel
3Version
2Responsible
Organisation
- KIT-Fakultät für Wirtschaftswissenschaften
Part of
Bricks
Identifier | Name | LP |
---|---|---|
T-WIWI-110216 | Empirical Finance | 6 |
T-WIWI-110217 | Python for Empirical Finance | 3 |
Competence Certificate
The assessment is carried out as partial exams (according to Section 4(2), 1 and 3 of the examination regulation) of the single courses of this module.Â
The assessment of "Empirical Finance" is carried out in form of a written exam (90 minutes), the assessment of "Python for Empirical Finance" is carried out in form of six biweekly Python programming tasks and offered each winter term.Â
The overall grade of the module is the grade of the written exam weighted with factor 0.75 and the grade for the Python programming tasks weighted with factor 0.25. The resulting grade is truncated after the first decimal.Â
Competence Goal
Students learn the fundamental concepts of modern portfolio theory and their realization in Python. The course focuses on the implementation of statistical concepts in Python, such that students are able to make investment decision under uncertainty after successful completion of this module.
Content
The module covers several topics, among them:
- Mean-Variance Portfolio Optimization
- Modeling Distribution of Asset Returns with Factor Models and ARMA-GARCH
- Monte-Carlo Simulation
- Parameter Estimation with Maximum Likelihood and Regressions?
Recommendation
Prior knowledge of statistics is recommended.
Workload
Total effort for 9 credit points: approx. 270 hours. The distribution is based on the credit points of the courses of the module. The total number of hours per course results from the effort required to attend lectures and exercises, as well as the examination times and the time required to achieve the learning objectives of the module for an average student for an average performance.