CODE 41605 ACADEMIC YEAR 2018/2019 CREDITS 6 cfu anno 1 ECONOMIA E ISTITUZIONI FINANZIARIE 8700 (LM-56) - GENOVA SCIENTIFIC DISCIPLINARY SECTOR SECS-S/06 LANGUAGE English TEACHING LOCATION GENOVA SEMESTER 2° Semester TEACHING MATERIALS AULAWEB OVERVIEW Course description An introduction to mathematical methods focusing on portfolio optimization. AIMS AND CONTENT LEARNING OUTCOMES Starting from the model of asset allocation of Markowitz, the student will be introduced to classical portfolio theory, including the 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. Basic notations and conventions Returns calculation. Stylized facts: lack of correlation; Quadratic Positive Correlation; Absence of Normality. Introduction to Technical Analysis. Part II: 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 III: 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 IV: 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: Office hours: up to 22 December 2018, on Tuesday 10.40-12.00 a.m.; later, please contact the instructor by mail. Office hours: in the period: 18 February 2019 up to 31 May 2019, on Wednesday 10.30-11.30 a.m.; later, please contact the instructor by mail. Exam Board MARINA RESTA (President) LUCA PERSICO LESSONS LESSONS START Sem: II 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 17/01/2019 09:30 GENOVA Scritto 07/02/2019 09:30 GENOVA Scritto 07/06/2019 09:30 GENOVA Scritto 26/06/2019 09:30 GENOVA Scritto 08/07/2019 09:30 GENOVA Scritto 10/09/2019 09:30 GENOVA Scritto FURTHER INFORMATION Attendance Not mandatory.
