Two Nobel Prize-winning areas of risk management are portfolio optimisation and option pricing theory. During the lecture both areas will be studied in detail. In addition to dealing with the necessary formalisms, this includes – in particular – an examination of the practicability of these theories in daily practice on the capital markets, using econometric methods.


  1. Albrecht and Maurer: Investment- und Risikomanagement. current edition. Schäffer-Poeschel, Stuttgart
  2. Hull: Optionen, Futures und andere Derivate. current edition. Pearson, Hallbergmoos