a) Questions to be addressed

• What are the options compared to the "standard" minimum variance approach of Markowitz?
• What are the advantages and disadvantages of these approaches?
• Different methods are to be compared empirically using performance and risk measures in an out-of-sample study and the relation to theoretical properties is to be illustrated.

b) Data set to be used

• A data set is to be selected independently on the basis of the literature.
• For this purpose, stock, commodity, currency and index returns are conceivable.

c) Additional information for processing

It is necessary to use a real out-of-sample methodology for the evaluation of portfolios with R: "Rolling Window" or "Expanding Window" methods should be used here. These must be programmed using the statistical software R. Helpful in this context are the packages PerformanceAnalytics and fPortfolio.

Books

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• Introductory Statistics with R von Daalgard (in der Bibliothek verfügbar)
• Time Series Models for Business and Economic Forecasting von Franses, van Dijk und Opschoor, Cambridge 新万博体育下载_万博体育app【投注官网】 Press (kann per Fernleihe bezogen werden)
• Probability and Statistics with R von Ugarte, Militino und Arnholt (in der Bibliothek verfügbar)
• Angewandte Statistik: Methodensammlung mit R vonSachs/Hedderich (in der Bibliothek verfügbar)
• Introductory Econometrics von Wooldridge (in der Bibliothek verfügbar)
• The R Book von Crawley (in der Bibliothek verfügbar)
• Albrecht A., Maurer R. (2005), 2. Auflage Sch?ffler Poeschel, Investment- und Risikomanagement

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Starting papers

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• Grootveld, H., Hallerbach, W., 1999, Variance vsdownside risk: Is there really that much difference? European Journal of Operational Research, Vol. 114, p. 304-319.
• Cumova, D., Nawrocki, D., 2011, A symmetric LPM model for heuristic mean-semivariance analysis, Journal of Economics and Business, vol. 63(3), p. 217-236.