Instructional goals
This class will teach advanced techniques to build a financial portfolio.
Prerequisites
As set by the Department of Economics and Finance
Intended learning outcomes
At the end of this course, students will be able to use advanced methods to manage and build investment portfolios.
Course Contents
1) Intro
2) Portfolio in theory and practice
3) Equilibrium in capital markets
4) Fixed income instruments.
5) Portfolio management
Reference Books
Bodie, Kane e Marcus "Investments", latest edition.
Teaching Methods
Classes, problem sets and TA sessions, midterm exam.
Assessment Method
Problem sets (30%), midterm (30%) and final exams (40%), a term paper (bonus point)
Thesis assignment criteria
Approval by the instructor of topic of the thesis.
Week 1 Contenuto sessioni on line e on campus
Intro: data, Bloomberg and Yahoo Finance
Week 2 Contenuto sessioni on line e on campus
Review of basic concepts in finance: notation, probability and statistics, matrix algebra
Week 3 Contenuto sessioni on line e on campus
Asset classes and financial instruments, ESG
Week 4 Contenuto sessioni on line e on campus
Optimal asset allocation
Week 5 Contenuto sessioni on line e on campus
Optimal portfolio
Week 6 Contenuto sessioni on line e on campus
Optimal portfolio on Matlab
Week 7 Contenuto sessioni on line e on campus
Index Models
Week 8 Contenuto sessioni on line e on campus
Factor models
Week 9 Contenuto sessioni on line e on campus
CAPM
Week 10 Contenuto sessioni on line e on campus
APT
Week 11 Contenuto sessioni on line e on campus
Factor Models
Week 12 Contenuto sessioni on line e on campus
Factor models
Optimal portfolio in a multi-factor world