93091 - FINANCIAL ECONOMICS

Anno Accademico 2024/2025

  • Docente: Filippo Massari
  • Crediti formativi: 8
  • SSD: SECS-P/01
  • Lingua di insegnamento: Inglese
  • Modalità didattica: Convenzionale - Lezioni in presenza
  • Campus: Bologna
  • Corso: Laurea in Economia, mercati e istituzioni (cod. 8038)

Conoscenze e abilità da conseguire

The student learns the basic insights into portfolio theory and management. He/she learns about investor’s choice, market opportunities, and optimal portfolio selection trading-off returns and risk. Some of the topics covered are mean-variance portfolio theory, efficient portfolio and efficient frontier, Capital asset pricing model, Arbitrage pricing model.

Contenuti

First, the course introduces the students to the problem of managing a portfolio.

- the mean-variance portfolio choice,

- CAPM,

- APT, Fama-French models.

Second, the course introduces the students to the main models and techniques that are used to analyze fixed income securities.

- Starting from basic concepts such as the yield curve, yield-to-maturity, duration, convexity, the course introduces portfolio hedging strategies based on duration-matching or asset liability management.

Third, the course introduces options pricing

Fourth, the course expose the students to the main behavioural finance findings in teh current literature

Testi/Bibliografia

Bodie, Kane and Marcus (2011), Investments, McGraw-Hill

Metodi didattici

Lezioni frontali, homeworks

Modalità di verifica e valutazione dell'apprendimento

mid-term+final exam

Strumenti a supporto della didattica

Slides, Homeworks

Orario di ricevimento

Consulta il sito web di Filippo Massari