- Docente: Martin Gonzalez Eiras
- Crediti formativi: 8
- SSD: SECS-P/01
- Lingua di insegnamento: Italiano
- Moduli: Martin Gonzalez Eiras (Modulo 1) Vincenzo Denicolò (Modulo 2)
- Modalità didattica: Convenzionale - Lezioni in presenza (Modulo 1) Convenzionale - Lezioni in presenza (Modulo 2)
- Campus: Bologna
- Corso: Laurea in Economics and finance /economia e finanza (cod. 8835)
Conoscenze e abilità da conseguire
This course primarily focuses on the identification of financial assets' fair prices. First, the course introduces students to the main theories of portfolio choice and risk-expected return trade-off in financial markets: 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.
Contenuti
Module 1
• Mean Variance Portfolio Theory
- Financial Markets
- The Characteristics of the Opportunity Set under Risk
- Delineating efficient portfolios
- Techniques for calculating the efficient frontier
- How to Select among the Portfolios in the Opportunity Set
Testi/Bibliografia
Modern portfolio theory and investment analysis, 9th edition. Authors: Elton, Gruber, Brown, & Goetzmann
Strategic asset allocation: portfolio choice for long-term investors. Authors: Campbell & Viceira
Advanced theory: why understanding the math matters, Journal of Financial Education. Author: Arnold
Metodi didattici
Lectures
Modalità di verifica e valutazione dell'apprendimento
Written exam, partial and total.
The maximum possible score in the class 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 e lode excellent
In case of an online exam, the exam will be run through Zoom or Teams and Exams Online (EOL). Detailed instructions on how to manage and hand in the online exam will be made available on the course page prior to the exam.
Strumenti a supporto della didattica
During lecture we will show how to calculate optimal portfolios.
Orario di ricevimento
Consulta il sito web di Martin Gonzalez Eiras
Consulta il sito web di Vincenzo Denicolò