30427 - Portfolio Theory & Investment Analysis

Course Unit Page

Academic Year 2019/2020

Learning outcomes

The course aims to provide the necessary tools to understand the financial investment choices of individual savers and institutional investors. At the end of the course the student is expected: - to have the theoretical and practical knowledge to evaluate the performance and risks of the main financial instruments traded on the financial markets; - to know the elements to optimally combine the individual securities in a portfolio; - to know the valuation criteria of the main financial instruments (bonds, shares and derivatives), the principles of modern portfolio theory and the main strategies for combining financial portfolios.

Course contents

  • The Capital Asset Pricing Model (CAPM)
  • The Arbitrage Pricing Theory (APT) model
  • Empirical testing of asset pricing models
  • Passive and active management and absolute return
  • Value at risk and risk management indicators
  • Risk and Performance Attribution
  • Market scenarios and asset allocation decisions
  • ALM for pension institutions
  • ALM for banking foundations
  • The Asset Management Industry


Edwin J. Elton, Martin J. Gruber, Stephen J. Brown, Modern Portfolio Theory and Investment Analysis, (8th edition), J. Wiley & Sons, 2010

Further bibliographical references will be provided during the course. The teaching material will be made available on the platform http://iol.unibo.it/

Teaching methods

Lectures followed by in-class tutorials.

Assessment methods

The exam consists of a written test, in which the student will be asked to demonstrate the ability to apply both analytically and numerically what was learned during the course.

Teaching tools

Frontal lessons with projector support; applications developed in excel and visual basic for the evaluation of derivative contracts discussed during the lessons.

Office hours

See the website of Giuseppe Lusignani