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CODICE 41605 2019/2020 6 cfu anno 1 ECONOMIA E ISTITUZIONI FINANZIARIE 8700 (LM-56) - GENOVA SECS-S/06 Inglese GENOVA 2° Semestre AULAWEB

PRESENTAZIONE

An introduction to mathematical methods focusing on portfolio optimization.

OBIETTIVI E CONTENUTI

OBIETTIVI FORMATIVI

The course aims at providing models and methods to theoretical and practical analysis of asset allocation problems. Special attention will be devoted to classical portfolio theory and empirical studies.

OBIETTIVI FORMATIVI (DETTAGLIO) E RISULTATI DI APPRENDIMENTO

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.

MODALITA' DIDATTICHE

 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

PROGRAMMA/CONTENUTO

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.

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.

TESTI/BIBLIOGRAFIA

The classes material will be set in the classroom at the beginning of the lessons, as well as published on Aulaweb.

DOCENTI E COMMISSIONI

Commissione d'esame

PIERPAOLO UBERTI (Presidente)

CRISTINA LUIGIA GOSIO

MARINA RESTA (Presidente)

LUCA PERSICO

LEZIONI

Sem: II

Orari delle lezioni

MODERN PORTFOLIO THEORY

ESAMI

MODALITA' D'ESAME

Written examination.

MODALITA' DI ACCERTAMENTO

 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.

Calendario appelli

Dati Ora Luogo Tipologia Note
16/01/2020 09:00 GENOVA Scritto Prof.ssa Resta con accettazione online
30/01/2020 09:00 GENOVA Scritto Prof.ssa Resta con accettazione online
12/06/2020 09:00 GENOVA Scritto
26/06/2020 09:00 GENOVA Scritto
10/07/2020 09:00 GENOVA Scritto
10/09/2020 09:00 GENOVA Scritto

ALTRE INFORMAZIONI

 Knowledge and understanding.  Students must acquire adequate knowledge and understanding of effective asset allocation tools. Applying knowledge and understanding. Students should be able to apply their knowledge to solv problems of optimal allocation in the presence of risk. Independent judgment capabilities. The students should know how to use the learned skills both at the conceptual and at the operational level in different application contexts. Communication skills. Students should acquire the technical language of the discipline to keep in touch, both clearly and unambiguously, with specialists. Learning skills. Students must develop proper learning skills to to independently investigate major issues of the field, withinh their operative working framework.

 The course will use R data analysis and statistical modeling. Testi di studio The classes material will be set in the classroom at the beginning of the lessons, as well as published on Aulaweb. Modalità di accertamento Esame    X scritto ☐ orale  ☐   altro: The students will 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.