- Docente: Michele Costa
- Credits: 10
- SSD: SECS-S/03
- Language: Italian
- Moduli: Andrea Guizzardi (Modulo 2) Michele Costa (Modulo 1)
- Teaching Mode: Traditional lectures (Modulo 2) Traditional lectures (Modulo 1)
- Campus: Bologna
- Corso: First cycle degree programme (L) in Statistic, Business and Markets (cod. 0003)
Learning outcomes
The purpose of the course is to introduce the most widespread portfolio and risk management techniques. A particular emphasis is used to uncover the meaningful relationships between financial markets analysis and statistical methodology.
Course contents
The course proposes to illustrate the framework of the portfolio quantitative analyses, with a particular attention to the risk measurement and the portfolio diversification.
The second part of the course covers an important spectrum of theoretical and empirical finance, including the Market Model and the Capital Asset Pricing Model. Statistical methods are developed within the context of financial models in order to test the theoretical hypotheses and to verify and interpret the empirical results.
Applications to the Italian Stock Market are provided by using
appropriate software.
Readings/Bibliography
J.Y. Campbell, A. Lo, A.C. MacKinley (1997), The econometrics of financial markets, Princeton University Press.
M.J.Pring (2002), Techincal analysis, McGraw-Hill.
Teaching methods
portfolio analysis and financial market models are illustrated with Italian stock market data using excel and econometric views
Assessment methods
oral exam
Teaching tools
computer laboratory
Links to further information
http://www2.stat.unibo.it/costa
Office hours
See the website of Michele Costa
See the website of Andrea Guizzardi