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30427 - Portfolio Theory & Investment Analysis

Academic Year 2019/2020

                
                        Docente:
                        Giuseppe Lusignani
                    
                        Credits:
                        6
                    
                        SSD:
                        SECS-P/11
                    
                        Language:
                        Italian
                    
                        Teaching Mode:
                        Traditional lectures
                        
                            Campus:
                            Bologna
                        
                            Corso:
                            Second cycle degree programme (LM) in
                            Financial Markets and Institutions (cod. 0901)

                                Also valid for
                                
                                    Second cycle degree programme (LM) in
                                    
                                        Economics and Economic Policy (cod. 8420)
                                    
                            Teaching resources on Virtuale

Learning outcomes

The course aims to provide the necessary tools to understand the financial investment choices of individual savers and institutional investors. At the end of the course the student is expected: - to have the theoretical and practical knowledge to evaluate the performance and risks of the main financial instruments traded on the financial markets; - to know the elements to optimally combine the individual securities in a portfolio; - to know the valuation criteria of the main financial instruments (bonds, shares and derivatives), the principles of modern portfolio theory and the main strategies for combining financial portfolios.

Course contents

The Capital Asset Pricing Model (CAPM)
The Arbitrage Pricing Theory (APT) model
Empirical testing of asset pricing models
Passive and active management and absolute return
Value at risk and risk management indicators
Risk and Performance Attribution
Market scenarios and asset allocation decisions
ALM for pension institutions
ALM for banking foundations
The Asset Management Industry

Readings/Bibliography

Edwin J. Elton, Martin J. Gruber, Stephen J. Brown, Modern Portfolio Theory and Investment Analysis, (8th edition), J. Wiley & Sons, 2010

Further bibliographical references will be provided during the course. The teaching material will be made available on the platform http://iol.unibo.it/

Teaching methods

Lectures followed by in-class tutorials.

Assessment methods

The exam consists of a written test, in which the student will be asked to demonstrate the ability to apply both analytically and numerically what was learned during the course.

Teaching tools

Frontal lessons with projector support; applications developed in excel and visual basic for the evaluation of derivative contracts discussed during the lessons.

Office hours

See the website of Giuseppe Lusignani