Course description
An introduction to mathematical methods focusing on portfolio optimization. Starting from the model of asset allocation of Markowitz, the student will be introduced to classical portfolio theory, to move to allocation methods based on Value at Risk, Expected Shortfall, as well as to techniques relying on bootstrap.
An introduction to mathematical methods focusing on portfolio optimization.Starting from the model of asset allocation of Markowitz, the student will be introduced to classical portfolio theory, included the APT and CAPM, to move then to allocation methods based on Value at Risk, Expected Shortfall, as well as to techniques relying on bootstrap.
Lessons held by the referee teacher as well as cases study.
"An introduction to mathematical methods focusing on portfolio optimization.Starting from the model of asset allocation of Markowitz, the student will be introduced to classical portfolio theory, included the APT and CAPM, to move then to allocation methods based on Value at Risk, Expected Shortfall, as well as to techniques relying on bootstrap."
Books and classes material will be available on Aulaweb.
Ricevimento: http://www.economia.unige.it/index.php/il-dipartimento/personale/docenti-ad-economia/163-marina-resta
MARINA RESTA (President)
LUCA PERSICO
Sem: I
19 sept. - 15 dec. 2016
MODERN PORTFOLIO THEORY
Written examination plus a report, according to what stated during the lessons by the teacher
Attendance
Not mandatory.
