- Docente: Filippo Massari
- Credits: 8
- SSD: SECS-P/01
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: First cycle degree programme (L) in Economics, Markets and Institutions (cod. 8038)
-
from Sep 16, 2024 to Dec 12, 2024
Learning outcomes
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.
Course contents
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
Readings/Bibliography
Bodie, Kane and Marcus (2011), Investments, McGraw-Hill
Teaching methods
Lectures, slides, Homework
Assessment methods
mid-term+final exam
Teaching tools
Slides, Homeworks
Office hours
See the website of Filippo Massari