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.




  • 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 University 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 Schäffler Poeschel, Investment- und Risikomanagement


Starting papers


  • 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.


Academic Council
Faculty of Business and Economics
  • Room 2319 (Building J)