Academic Year 2023/2024

  • Teaching Mode: Traditional lectures
  • Campus: Bologna
  • Corso: Second cycle degree programme (LM) in Greening Energy Market and Finance (cod. 5885)

    Also valid for Second cycle degree programme (LM) in Quantitative Finance (cod. 8854)

Learning outcomes

Objective of the course is to identify, describe and classify climate‑related financial and non‑financial risks, and the impacts of these on the economy, society and the financial services sector; explain the role of different actors in climate change, including central banks, financial supervisory authorities, national and multilateral development banks, corporate banks, and institutional investors.

Course contents

1. Expected utility, Risk aversion measures: brief review of basic concepts.

2. Intertemporal choice under certainty.

3. Risk premia, CAPM (Capital Asset Pricing Model), A-D Pricing

4. Arbitrage pricing Theory - APT

5. Limits of CAPM. Bayesian models.

6. Asymmetric information.

7. Investing for the Long Run: the equity premium puzzle and its remedies

8. Intertemporal portfolio allocation problem in continuous time: the classic Merton’s problem.

The analysis is always developed in a discrete setting, so that the mathematical prerequisites are just basic notions of probability theory, multivariate calculus and linear algebra. We also extend the course content to continuous time: all the necessary tool will be provided in class during lectures.

Knowledge of the fundamentals of microeconomic theory are also assumed.


Danthine, J.P., and J. Donaldson, Intermediate financial theory, third edition, Elsevier, N.Y., 2014.

Campbell, J., Financial Decisions and Markets, Princeton University Press, 2018. 

Some additional material (slides, problem sets, past exam) will be provided during lectures and it will be published online.

Teaching methods

Teacher's lectures. Problem sets. Slides

Assessment methods

For students attending lectures regularly, the exam consists in a take home assignment where students need to show their ability to attack a specific problem and following the literature. The timing needed to complete the exam will be around one week. 

The exam aims to verify the student's understanding of the key analytical results and tools discussed in class. This can be obtained requiring him/her to apply these tools to simple computational problems, to show properly the logic of theoretical concepts.

For students who do not attend regularly the in class sections, the exam will be a 2-hours writtin assignment in class. 


Teaching tools

Overheads projector, Slides, Web, Matlab

Office hours

See the website of Massimiliano Marzo


Quality education Decent work and economic growth Industry, innovation and infrastructure Reduced inequalities

This teaching activity contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.