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93091 - Financial Economics

Academic Year 2022/2023

                
                        Docente:
                        Filippo Massari
                    
                        Credits:
                        8
                    
                        SSD:
                        SECS-P/01
                    
                        Language:
                        English
                    
                        Moduli:
                        
                            Martin Gonzalez Eiras
                            (Modulo 1)
                        
                            Filippo Massari
                            (Modulo 2)
                        
                        Teaching Mode:
                        
                                    Traditional lectures (Modulo 1)
                                
                                    Traditional lectures (Modulo 2)
                                
                            Campus:
                            Bologna
                        
                            Corso:
                            First cycle degree programme (L) in
                            Economics and Finance (cod. 8835)

                            Teaching resources on Virtuale

Learning outcomes

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.

Course contents

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

- CAPM

Readings/Bibliography

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

Teaching methods

Lectures

Assessment methods

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.

Teaching tools

During lecture we will show how to calculate optimal portfolios.

Office hours

See the website of Filippo Massari

See the website of Martin Gonzalez Eiras