CODE 41605 ACADEMIC YEAR 2016/2017 CREDITS 6 cfu anno 1 ECONOMIA E ISTITUZIONI FINANZIARIE 8700 (LM-56) - 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 MARINA RESTA Ricevimento: http://www.economia.unige.it/index.php/il-dipartimento/personale/docenti-ad-economia/163-marina-resta Exam Board MARINA RESTA (President) LUCA PERSICO LESSONS LESSONS START Sem: I 19 sept. - 15 dec. 2016 Class schedule MODERN PORTFOLIO THEORY 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.
