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CODE 41605
ACADEMIC YEAR 2016/2017
CREDITS
SCIENTIFIC DISCIPLINARY SECTOR SECS-S/06
LANGUAGE Italiano
TEACHING LOCATION
SEMESTER 2° Semester
TEACHING MATERIALS AULAWEB

OVERVIEW

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.

AIMS AND CONTENT

LEARNING OUTCOMES

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.

TEACHING METHODS

Lessons held by the referee teacher as well as cases study.

SYLLABUS/CONTENT

"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."

 

RECOMMENDED READING/BIBLIOGRAPHY

Books and classes material will be available on Aulaweb.

TEACHERS AND EXAM BOARD

Exam Board

MARINA RESTA (President)

LUCA PERSICO

LESSONS

LESSONS START

Sem: I

19 sept. - 15 dec. 2016

EXAMS

ASSESSMENT METHODS

Written examination plus a report, according to what stated during the lessons by the teacher

Exam schedule

Data appello Orario Luogo Degree type Note
09/06/2017 09:30 GENOVA Scritto
26/06/2017 09:30 GENOVA Scritto
10/07/2017 09:30 GENOVA Scritto
24/07/2017 09:30 GENOVA Scritto
12/09/2017 09:30 GENOVA Scritto

FURTHER INFORMATION

Attendance

Not mandatory.