- Docente: Filippo Massari
- Credits: 8
- SSD: SECS-P/01
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: First cycle degree programme (L) in Economics and Finance (cod. 8835)
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from Feb 13, 2024 to May 21, 2024
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
First, the course introduces the students to the problem of managing a portfolio.
- 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.
Third, the course introduces options pricing
Fourth, the course expose the students to the main behavioural finance findings in teh current literature
Readings/Bibliography
Bodie, Kane and Marcus (2011), Investments, McGraw-Hill
Teaching methods
Lectures, slides, Homework
Assessment methods
mid-term+final exam
Teaching tools
Slides, Homeworks
Office hours
See the website of Filippo Massari