- Docente: Filippo Massari
- Credits: 8
- SSD: SECS-P/01
- Language: English
- Teaching Mode: In-person learning (entirely or partially)
- Campus: Bologna
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Corso:
First cycle degree programme (L) in
Economics, Markets and Institutions (cod. 8038)
Also valid for First cycle degree programme (L) in Economics and Finance (cod. 8835)
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from Feb 09, 2026 to May 15, 2026
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 the current literature
Readings/Bibliography
Bodie, Kane and Marcus (2011), Investments, McGraw-Hill
Teaching methods
Lezioni frontali, homeworks
Assessment methods
mid-term+final exam
Teaching tools
Slides, Homeworks
Office hours
See the website of Filippo Massari