75374 - Financial Engineering for Asset Management

Learning outcomes

Students will master advanced techinques in forming and managing portfolios of financial assets. At the same time, the course aims to solve specific problems in advanced portfolio management by mixing up advanced theoretical results with practical applications. Portfolio theory is taught from the basic principles to the most recent advances of the current literature, making attendants able to create and refine an optimal portfolio. Special emphasis is given to advanced techniques of risk controls, as the result of Bayesian portfolio theory and ambiguity aversion.

Course contents

• A recap of traditional portfolio theory and the Capital Asset Pricing Model
• Arbitrage Pricing Theory and multifactor models of risk and return
• Active portfolio management: Treynor-Black and Black-Litterman models
• Market efficiency. Value investing and momentum investing
• Recent developments in asset management: Socially responsible investment (SRI). Climate transition risk and asset management
• ESG (environmental, social and governance) metrics and asset management
• Portfolio performance evaluation (traditional and SRI measures)

Readings/Bibliography

Zvi Bodie, Alex Kane, Alan Marcus, Investments, 11th Edition, McGraw-Hill (selected chapters).

Dirk Schoenmaker and Willem Schramade, Principles of Sustainable Finance, 1st Edition, Oxford University Press (selected chapters).

Any other material posted on Virtuale.

Teaching methods

Traditional lectures and exercises.

Assessment methods

Final exam: The final exam is a written, closed-book exam, which consists of a combination of multiple-choice questions, true/false with explanation, and exercises.

Assignment: Students may earn bonus points (to be added to the grade of the final exam) by submitting a group assignment (strongly recommended!). The assignment: a) will grant between 0 and 5 bonus points; b) is a groupwork (minimum 1, maximum 3 components) - it is the students’ responsibility to form their own group and the grade will be the same for all group components; c) will have to be handed in by email on the last session date.

Teaching tools

Slides, readings.

Office hours

See the website of Mascia Bedendo