- Docente: Giuseppe Lusignani
- Credits: 6
- SSD: SECS-P/11
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Bologna
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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)
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://virtuale.unibo.it
Teaching methods
Lectures followed by in-class tutorials.
Assessment methods
The exam consists of a written test, where the student will be asked to show the ability to apply, both analytically and numerically, what it has been covered during the lectures.
In detail, the written exam covers the topics of the two modules and is divided into two parts of 55 minutes each: the first consists of 18 multiple-choice questions (mix of theoretical questions and simple exercises) and a second of two more complex exercises (problems) also articulated in multiple-choice mode.
To each correct answer of the 18 questions will be assigned 1 point (+1); to each wrong answer a reduction of 0.25 points (-0.25) and in case of no answer, 0 points.
The correct answers of the two exercises, also in the form of multiple choice, will be assigned a score differentiated according to the difficulty, for a total of 9 points for each exercise (18 points on the two exercises). The indication of this score will be made explicit in the text of each exercise. Also in this case, a reduction of 0.25 points (-0.25) will be applied to each wrong answer, and in the case of no answer, 0 points.
The final grade, in thirtieths, is obtained dividing the total score achieved (first and second part) by the value of 32 (rounded).
The final grade of the TPAI exam will contribute 50% to the final grade of the integrated course in Risk Management and Investment Analysis (CLAMFIM students) and of the integrated course in Economics and Technique of Financial Markets (EPELM students).
Teaching tools
Frontal lessons with projector support.
Office hours
See the website of Giuseppe Lusignani