- Docente: Gabriele Camera
- Credits: 8
- SSD: SECS-P/01
- Language: English
- Moduli: Gabriele Camera (Modulo 1) Gabriella Chiesa (Modulo 2)
- Teaching Mode: Traditional lectures (Modulo 1) Traditional lectures (Modulo 2)
- Campus: Bologna
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Corso:
First cycle degree programme (L) in
Economics and Finance (cod. 8835)
Also valid for First cycle degree programme (L) in Economics and Finance (cod. 8835)
Learning outcomes
At the end of the course, student understands deeply the basic models and concepts of financial and monetary economics: the principles of risk management and risk allocation; portfolio theory and asset pricing; the concepts of market liquidity, illiquidity risk and the links between funding liquidity and market liquidity. Within the area of monetary economics and monetary policy, student learns the transmission mechanism of monetary policy in a market based economy, the role played by market liquidity and sovereign debt, the policy tools of quantitative and qualitative easing.
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
• Models of equilibrium in the capital markets
- The Standard Capital Asset Pricing Model (CAPM)
- Nonstandard forms of Capital Asset Pricing Models
- The Arbitrage Pricing Model.
• Security Analysis And Portfolio Theory
- The Valuation Process
Module 2
• Fixed Income:
-- Interest rates and returns
-- Maturity and volatility of bond returns
-- Interest rate risk – duration
-- Risk and Term Structure of Interest Rate
• Money Market
• Monetary economics in economies with financial markets
- Transmission Mechanism
- The role of asset market liquidity in the functioning of the transmission mechanism : Empirical evidence
• Asset market liquidity and monetary policy:
-Quantitative easing
-Qualitative easing
• Evidence: Central bank balance sheets ante and post crises
• Focus on the Eurosystem
Readings/Bibliography
Modern portfolio theory and investment analysis
9th edition
Authors: Elton, Gruber, Brown, & Goetzmann
Teaching methods
Lectures
Assessment methods
Written exam, partial and total.
Teaching tools
During lecture we will show how to calculate optimal portfolios.
Office hours
See the website of Gabriele Camera
See the website of Gabriella Chiesa