93091 - Financial Economics

Academic Year 2023/2024

  • Teaching Mode: Traditional lectures
  • Campus: Bologna
  • Corso: 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

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