- Docente: Filippo Massari
- Crediti formativi: 8
- SSD: SECS-P/01
- Lingua di insegnamento: Inglese
- Modalità didattica: Convenzionale - Lezioni in presenza
- Campus: Bologna
- Corso: Laurea in Economics and Finance (cod. 8835)
-
dal 13/02/2024 al 21/05/2024
Conoscenze e abilità da conseguire
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.
Contenuti
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
Testi/Bibliografia
Bodie, Kane and Marcus (2011), Investments, McGraw-Hill
Metodi didattici
Lezioni frontali, homeworks
Modalità di verifica e valutazione dell'apprendimento
mid-term+final exam
Strumenti a supporto della didattica
slides, Homeworks
Orario di ricevimento
Consulta il sito web di Filippo Massari