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, including the CAPM, to move then 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, to move to allocation methods based on Value at Risk, Expected Shortfall, as well as to techniques relying on bootstrap.
Modalità didattiche
Lessons held by the instructor as well as cases study. The course will utilize R data analysis and statistical modeling.
Presente su Aulaweb
Yes X
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
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.
The classes material will be set in the classroom at the beginning of the lessons, as well as published on Aulaweb.
Ricevimento: Durante il primo semestre (e fino al 22/12/2018) il ricevimento si terrà il Martedì dalle 10.40 alle 12.00. Durante il secondo semestre (18/02/2019 fino al 31/5/2019) il ricevimento si terrà il Mercoledì dalle 10.30 alle 11.30. Negli altri periodi si prega di contattare preventivamente la docente via mail all'indirizzo: marina PUNTO resta AT economia PUNTO unige PUNTO it
MARINA RESTA (Presidente)
LUCA PERSICO
Sem: II
MODERN PORTFOLIO THEORY
Written examination.
Modalità di accertamento
Written examination. The students can alternatively present and discuss a report according to the indications provided by the teacher during the lessons.
Ripetizione dell’esame
Three times in the first session. It is mandatory to sign for the examination through the web portal.
The course will use R data analysis and statistical modeling.
Testi di studio
Esame X scritto ☐ orale ☐ altro: The students will present and discuss a report according to the indications provided by the teacher during the lessons.
