- Docente: Fabio Gobbi
- Credits: 6
- SSD: SECS-S/06
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Forli
- Corso: Second cycle degree programme (LM) in Economics and Commerce (cod. 0905)
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from Feb 14, 2024 to Mar 20, 2024
Learning outcomes
Basic notions of Portfolio analysis and Portfolio Selection. Risk measures: the Value-at-Risk and the volatility analysis using Arch and Garch models.
Course contents
1. Financial Markets. Structure and functioning. Returns: theory and empirical evidence. Mean, variance and correlations.
2. Markets and Portfolio Choices. Construction of a portfolio of financial instruments. Calculation of portfolio return. Mean and variance of portfolio return.
3. Mean-Variance Analysis. Mean-variance approach to portfolio selection. Role of correlation. Diversification. Efficient portfolios. Optimization.
4. Measurement of portfolio risk. Value-at-Risk and Expected Shortfall. Estimation of portfolio volatility with the ARCH and GARCH models.
5. Applications on Excel. Analysis of market returns on excel. Calculation of a portfolio VaR. Simulation and analysis of ARCH and GARCH models.
Readings/Bibliography
Castellani G., De Felice M., Moriconi F. (2005). "Manuale di Finanza. Teoria del Portafoglio e mercato azionario", Il Mulino. Capitoli 4, 5 e 6.
Hamilton J.D. (1995). "Econometria delle serie storiche". Ed. italiana a cura di Bruno Sitzia. Monduzzi Editore. Capitolo 21.
Teaching methods
Classroom lessons.
Assessment methods
Written test and possible oral test.
Teaching tools
Further recommended readings suggested during the lessons.
Office hours
See the website of Fabio Gobbi
SDGs
This teaching activity contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.