98730 - ASSET MANAGEMENT AND TRANSITION RISK

Learning outcomes

At the end of the course students will be able to provide a financial service of managing assets by means of financial instruments with the aim of increasing the invested assets. Investment opportunities including government financing through sovereign bonds, private sector financing through equity or bond purchases, and financing infrastructure needs, with the aim of generating a return that is shared between the asset manager as remuneration and the investor as their return, will be matter of discussion.

Course contents

• Capital allocation to risky assets
• Capital Asset Pricing Model, Arbitrage Pricing Theory and multifactor models
  
• Climate and finance: Physical risk and transition risk
• ESG-driven investment
• Climate-driven investment (decarbonization of a portfolio; green financial assets)
• Portfolio performance evaluation (traditional and sustainability-corrected measures)

Readings/Bibliography

Required readings:

Zvi Bodie, Alex Kane, Alan Marcus, Investments, 11th Edition, McGraw-Hill (selected chapters as indicated in the slideset).

Any other material posted on Virtuale.

Teaching methods

Lectures; Practical examples of portfolio optimization

Assessment methods

For GrenFin students: This course is the first module of the integrated course FINANCIAL MARKETS AND CLIMATE CHANGE: PRICING/HEDGING AND ASSET MANAGEMENT.

The exam for this module is a one-hour written, closed-book exam, which consists of a combination of exercises, true/false questions, and multiple-choice questions on the material covered in class. There is no mid-term exam. The exam takes place at the end of the course (there are two available exam dates in January and one in September) and aims at assessing the analytical skills developed during the course. A mock exam will be posted on Virtuale.

The maximum possible score on the overall exam is 30 cum laude, in case all answers are correct, complete and formally rigorous. The grade distribution is as follows:
<18 failed
18-23 sufficient
24-27 good
28-30 very good
30 cum laude excellent

For GrenFin students, the grade of this module will be averaged (simple average) with the grade of Mathematical Finance, Asset Pricing, and Derivatives to derive the overall grade of the integrated course. The overall average grade must be at least 18, the minimum grade of each module is 15. Both modules must be taken by the September exam session (inclusive). For other students (including exchange students or PhD students) taking only this module, the minimum pass grade is 18. Students can reject a pass grade in this module (and resit the exam) once only. 

 

 

Teaching tools

Course page on Virtuale, where students can find:

• Lecture slides
• Portfolio optimization exercises
• Mock exam

Office hours

See the website of Mascia Bedendo