CODE 41605 ACADEMIC YEAR 2017/2018 CREDITS 6 cfu anno 1 ECONOMIA E ISTITUZIONI FINANZIARIE 8700 (LM-56) - SCIENTIFIC DISCIPLINARY SECTOR SECS-S/06 LANGUAGE Italian 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 instructor as well as cases study. SYLLABUS/CONTENT Part I: Portfolio selection à la Markowitz Returns calculation. Stylized facts: lack of correlation; Quadratic Positive Correlation; Absence of Normality. Mean-Variance Model: the case of two assets and the general case. Graphical analysis,. Implications. The separation theorem and its financial interpretation. Efficient portfolios by way of matrix algebra. The efficient frontier. The model with a risk-free asset. An outline on CAPM and market line. Part II: Risk Measures. A quantile-based approach. Coherent risk measures. Value-at-Risk: definition and statistical implications. Expected Shortfall: definition and statistical implications. Some tests on VaR. Part III: Advanced Asset Allocation. Outline of bootstrap techniques. The resampling approach by Michaud. The Black-Litterman model. Mean-variance-skewness models of asset allocation. Portfolio optimization based on risk measures. RECOMMENDED READING/BIBLIOGRAPHY Books and classes material will be available on Aulaweb. TEACHERS AND EXAM BOARD MARINA RESTA Ricevimento: By appointment, contacting the teacher by e-mail. When the final lessons schedule is released, the instructor will also define office hours during which she can be contacted. Office hours: up to 31 May 2018, on Wednesday 10.30-11.30 a.m.; after 31 May 2018, please contact the instructor by mail. Exam Board MARINA RESTA (President) LUCA PERSICO LESSONS LESSONS START Sem: I 20 sept. - 15 dec. 2017 Class schedule MODERN PORTFOLIO THEORY EXAMS EXAM DESCRIPTION Written examination 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 19/01/2018 09:30 GENOVA Scritto 02/02/2018 09:30 GENOVA Scritto 08/06/2018 09:30 GENOVA Scritto 25/06/2018 09:30 GENOVA Scritto 09/07/2018 09:30 GENOVA Scritto 23/07/2018 09:30 GENOVA Scritto 11/09/2018 09:30 GENOVA Scritto FURTHER INFORMATION Attendance Not mandatory.
