Lecture I – Basics of asset management Reference reading material: • The lesson will be lectured in classroom and subsequently uploaded on the LUISS website “Luiss e-learn platform”, from which students can download and print the notes • Brown & Reilly - Investment Analysis and Portfolio Management - International edition, (2011 -10th edition), Chapter I, II, III, IV, V In this lesson students will be introduced to the investment world by analyzing the nature and purpose of an investment, the techniques used by investors to measure the rate of return and the risk related to alternative investments. They will also examine which macroeconomic and microeconomic factors contribute to changes in the required rate of return for investments.

Lecture II- Asset allocation Reference reading material: • The lesson will be lectured in classroom and subsequently uploaded on the LUISS website “Luiss e-learn platform”, from which students can download and print the notes • Brown,Reilly & Leeds - Investment Analysis & Portfolio Management - International edition, (2019 -11th edition), Chapter II, VI In this lesson students will be presented with the factors that have to be taken into account when building up an optimal portfolio. They will be introduced to the main quantitative algorithms that can be used in asset allocation (Markowitz, CRC), explain pros and cons and possible solutions. Sample allocations obtained from different algorithm will be discussed.

Lecture III – Asset pricing and Capital market theory Reference reading material: • The lesson will be lectured in classroom and subsequently uploaded on the LUISS website “Luiss e-learn platform”, from which students can download and print the notes. • Brown,Reilly & Leeds - Investment Analysis & Portfolio Management - International edition, (2019 -11th edition), Chapter V, VII • Campbell Harvey, Global Asset Allocation and Stock Selection, Unpublished Notes • Michaud Robert, Efficient Asset Management, HBS press • Campbell Harvey, Portfolio Selection with Higher Moments, Unpublished Notes The lesson will mainly deal with deriving the Capital Asset Pricing Model (CAPM), discuss its assumptions, the capital market line, and the security market line. The framework will be generalized to multifactor models of risk and return; Arbitrage Pricing Theory (APT) will be also discussed. There will be some examples/applications.

Lecture IV – Equity Valuation Reference reading material: • The lesson will be lectured in classroom and subsequently uploaded on the LUISS website “Luiss e-learn platform”, from which students can download and print the notes. • Brown,Reilly & Leeds - Investment Analysis & Portfolio Management - International edition, (2019 -11th edition), Chapter VIII, IX, X, • Albright, T. L., & Ingram, R. W. (2006). Financial accounting: A bridge to decision-making. 6th Edition. Mason, OH: Thomson South-Western. • ACFE 2008 Report to the Nation on Occupational Fraud and Abuse. (2008) • Beneish, M. D. (1999, September/October). The detection of earnings manipulation. Financial Analyst Journal. 55(5), 24-36. • Brigham, E. F., & Houston, J. F. (2007). Fundamentals of financial management. 5th Edition. Mason, OH: Thomson South-Western. • Fraser L. M. & Ormiston, A. (2010). Understanding Financial Statements, 9th Edition. New York, NY: Prentice Hall • Harrington, C. (2005, March/April). Formulas for detection: Analysis ratios for detecting financial statement fraud. Fraud Magazine. Association of Certified Fraud Examiners. Retreived January 15, 2009, from http://www.acfe.com/resources/view-content.asp?ArticleID=416 • Well, Joseph T. (2008). Principles of Fraud Examination. 2nd Edition. Hobken, NJ: John Wiley & Sons, Inc. • Wells, J. T. (2001, August). Irrational Ratios. Journal of Accountancy. 192(2), 80-83. • Williams, J. R., Haka, S. F., Bettner, M. S., & Carcello, J. V. (2008). Financial & managerial accounting: The basis for business decisions. 14th Edition. New York, NY: McGraw-Hill/Irwin. • Wolf D. T. & Hermanson, D. R. (2004, December). The fraud diamond: Considering the four elements of fraud. The CPA Journal. 38-42. Students will be introduced to security valuation. Starting from the investment decision process, students will gain general knowledge of the different approaches to valuation and the use of various techniques. Besides, students will deepen their knowledge of security valuation. They will be taught how to estimate the fundamental intrinsic value of firms as well as of securities, analyzing relevant ratios, approaches and techniques (DDM, FCFE, FCFF, etc.). The lecture includes Bloomberg valuation screen readings, case studies and practical examples.

Lecture V – Bond Valuation and Bond Portfolio Management Reference reading material: • The lesson will be lectured in classroom and subsequently uploaded on the LUISS website “Luiss e-learn platform”, from which students can download and print the notes. • Brown,Reilly & Leeds - Investment Analysis & Portfolio Management - International edition, (2019 -11th edition), Chapter XII, XIII • Unpublished notes Through this lessons students will learn debt market fundamentals, including: different types of debt instruments, rating and cost of the debt, interest (and compounding methodology), taxation, yield to maturity calculation and methodology, volatility of bond prices, duration measure, high yield bonds’ features and market, forward rates and bond portfolio strategies. The lecture includes Bloomberg valuation screen readings, case studies and practical examples.

Lecture VI – Derivatives Markets and Derivatives in Portfolio Management (PM) Reference reading material: • The lesson will be lectured in classroom and subsequently uploaded on the LUISS website “Luiss e-learn platform”, from which students can download and print the notes. • Brown,Reilly & Leeds - Investment Analysis & Portfolio Management - International edition, (2019 -11th edition), Chapter XIV, XV, XVI, • Mc Donald, Derivatives Markets, Pearson The lesson will focus on the following topics: analysis of derivative contracts (swaps, options and forwards, futures); elementary applications of derivatives to portfolio management (including the illustration of various derivatives strategies: option strategies, non-directional strategies, covered-write and buy-write strategies, interest rate derivatives strategies, stock replacement and cash extraction strategies, etc.). The lecture includes Bloomberg valuation screen readings, case studies and practical examples.

Lecture VII – The Investment Process and Risk Budgeting Reference reading material: • The lesson will be lectured in classroom and subsequently uploaded on the LUISS website “Luiss e-learn platform”, from which students can download and print the notes. • Litterman et al. - Modern Investment Management: An Equilibrium Approach (2003) • Unpublished Notes • Brown,Reilly & Leeds - Investment Analysis & Portfolio Management - International edition, (2019 -11th edition), Chapter XVIII The lesson will illustrate the concept of investment process and risk budgeting and discuss the Black-Litterman model as an advanced technique that allows to overcome some limitations encountered with the previous techniques. A case study of investment process and BL will be presented and discussed with the class. Different measures for portfolio performance evaluation (Sharpe ratio, Inf. Ration, etc.) and their role in selecting portfolio managers will be also discussed.

Lecture VIII – Asset management and monetary policy Reference reading material: • The lesson will be lectured in classroom and subsequently uploaded on the LUISS website “Luiss e-learn”, from which students can download and print the notes. • Unpublished notes The lesson will focus on monetary policy from the perspective of an asset manager. A description of the main monetary policy measures will be provided, along with their expected impact on financial markets. Some empirical evidence arising from academic papers will be examined, in addition, there will be an analysis of some of the measures undertaken by major central banks.

Lecture IX – Part 1 – Hedge Funds and Alternative investments The lesson will be lectured in classroom and subsequently uploaded on the LUISS website “Luiss e-learn platform”, from which students can download and print the notes. • Unpublished notes • Brown,Reilly & Leeds - Investment Analysis & Portfolio Management - International edition, (2019 -11th edition), Chapter XVII • The lesson will define and cluster of hedge funds and other alternative investments (private equity, real estate, infrastructure, NPL). In addition, there will be a discussion over their market landscape, historical performance, and on therisk premia they try to exploit. Lecture IX – Part 2 – Quant. portfolio management/Machine Learning/Artificial intelligence The lesson will be lectured in classroom and subsequently uploaded on the LUISS website “Luiss e-learn platform”, from which students can download and print the notes. • Unpublished notes The lesson will describe the most common quantitative techniques for portfolio management, and introduce to the most common machine learning and artificial intelligence algorithms in asset management. There will be some applications (Matlab or Python).

Lecture X – Goal based investing Reference reading material: • The lesson will be lectured in classroom and subsequently uploaded on the LUISS website “Luiss e-learn platform”, from which students can download and print the notes. • Unpublished notes The lesson will define the subject starting from the point of view (needs) of the final investor and address the following points: multiple goals (Mental Accounting - MA) for a single investor as opposed to one single objective in the standard Modern Portfolio Theory (MPT); new definition of risk as probability of achieving (or not achieving) the goal as opposed to portfolio standard deviation. Nesting MA in MPT for the achievement of “efficient solution”; aggregation of different portfolios for different goals in a unique final portfolio; portfolio reallocation through time based on level of goal achieved and risk (probability of not reaching the goal) at maturity.

Lecture XI – ESG investing Reference reading material: • The lesson will be lectured in classroom and subsequently uploaded on the LUISS website “Luiss e-learn platform”, from which students can download and print the notes. • Unpublished notes The lesson will introduce the class to ESG invesmtment s and its main undergoing trends. The will be also a specific reference to the following themes: green bonds and their market standards, greenium, greenwashing, SDG bonds. Some case studies will be discussed.

• General Review