Instructional goals
This class will provide an advanced analysis of asset pricing theory, financial instruments, and investment strategies.
Prerequisites
Basic coding (any language). Basic math, statistics, and probability
Intended learning outcomes
Students are expected to learn state-of-the-art asset pricing models and understand the relationship between risk-return. The focus of the class is applied and students will use Matlab/Python for applications.
Course Contents
This class will cover the following topics:
1) Introduction to financial time-series
2) Utility based asset pricing
3) Basic portfolio theory and practice
4) Equilibrium in capital markets
5) Investment strategies for equities, bonds and currencies
6) Investing in the crypto space
Reference Books
Python for Finance by Yves Hilpisch
and material supplied by the instructor (including, papers, lecture notes and slides).
Teaching Methods
In class lectures, assignments, in-class tutorials, investment games
Assessment Method
Problem sets (30%), class discussions, writing a paper (bonus point), midterm (30%) and final (40%) exams
Thesis assignment criteria
The criteria established by the Director of the LM in Finance as well as those stated by the Department of Economics and Finance.
Week 1 Contenuto sessioni on line e on campus
Introduction and stylized data, Bloomberg tour
Week 2 Contenuto sessioni on line e on campus
Review of finance notation, probability and statistics, matrix algebra
20/9 deadline assignment 1
Week 3 Contenuto sessioni on line e on campus
Asset classes and financial instruments
27/9 deadline assignment 2
Week 4 Contenuto sessioni on line e on campus
Utility based asset pricing models: theory and evidence
Week 5 Contenuto sessioni on line e on campus
Utility based asset pricing models: theory and evidence
11/10 deadline assignment 3
Week 6 Contenuto sessioni on line e on campus
Utility based asset pricing models: theory and evidence
Week 7 Contenuto sessioni on line e on campus
Utility based asset pricing models: theory and evidence
25/10 deadline assignment 4
Week 8 Contenuto sessioni on line e on campus
Expected Returns in the Time Series and in the Cross-Section
31/10 MIDTERM
Week 9 Contenuto sessioni on line e on campus
Expected Returns in the Time Series and in the Cross-Section
Week 10 Contenuto sessioni on line e on campus
Factor models and investment strategies
15/11 deadline assignment 5
Week 11 Contenuto sessioni on line e on campus
Cryptocurrency Finance
Week 12 Contenuto sessioni on line e on campus
Liquidity
29/11 deadline assignment 6