- 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
This course primarily focuses on the identification of financial assets' fair prices. First, the course introduces students to the main theories of portfolio choice and risk-expected return trade-off in financial markets: 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.
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