- Docente: Filippo Massari
- Crediti formativi: 6
- SSD: SECS-P/01
- Lingua di insegnamento: Inglese
- Moduli: Filippo Massari (Modulo 1) Umberto Cherubini (Modulo 2)
- Modalità didattica: Convenzionale - Lezioni in presenza (Modulo 1) Convenzionale - Lezioni in presenza (Modulo 2)
- Campus: Bologna
- Corso: Laurea Magistrale in Applied Economics and Markets (cod. 5969)
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Orario delle lezioni (Modulo 1)
dal 11/11/2024 al 25/11/2024
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Orario delle lezioni (Modulo 2)
dal 27/11/2024 al 11/12/2024
Conoscenze e abilità da conseguire
At the end of the course, the student can use, derive, and understand the logic of rational decision theory (e.g., Expected Utility, Bayes' rule) and the main insight from Gambling Theory. Students will be able to understand the implications of the law of large numbers applied to repeated investment decisions in non-ergodic systems such as the stock market.
Contenuti
The course is divided in two modules
Module 1- Prof. Filippo Massari:
- Expected Utility theory
- Probability
- Bayes rule
- Entropy
- Gambling theory
- Kelly rule
Module 2- Prof. Umberto Cherubini:
- Mean-Variance PrincipleRisk Measures and Acceptable
- InvestmentsDynamic Investments: Expected Utility vs Information Theory
- Artificial Intelligence and Investments
- Introduction to Reinforcement Learning
Testi/Bibliografia
Lecture slides
papers
Metodi didattici
Lectures
Homework
Modalità di verifica e valutazione dell'apprendimento
The final grade will be based on:
- a term paper (and a PPT or PDF presentation)
- homework's.
The term paper will be sent 5 days before the exam, which will be individual and consist of
- 10-15 minute presentation of the term paper (with PPT or PDF)
- 5-10 minutes of questions on content of the course.
The term paper will account for up to 15 points in the final grade.
The term paper (about 10 pages) should consist of
- an introduction to the problem or topic chosen
- a review of the literature on the subject
- a mathematical treatment of the problem
- an illustrative example with data, either real or simulated
The maximum possible score is 30 cum laude.
The grades are described as follows
< 18 failed
18-23 sufficient
24-27 good
28-30 very good
30 cum laude Excellent
Strumenti a supporto della didattica
slides
Orario di ricevimento
Consulta il sito web di Filippo Massari
Consulta il sito web di Umberto Cherubini