MODERN PORTFOLIO THEORY

MODERN PORTFOLIO THEORY

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iten
Code
41605
ACADEMIC YEAR
2019/2020
CREDITS
6 credits during the 1st year of 8700 Economics and Financial Institutions (LM-56) GENOVA
SCIENTIFIC DISCIPLINARY SECTOR
SECS-S/06
LANGUAGE
English
TEACHING LOCATION
GENOVA (Economics and Financial Institutions)
semester
2° Semester
Teaching materials

OVERVIEW

Course description

An introduction to mathematical methods focusing on portfolio optimization.
 

AIMS AND CONTENT

LEARNING OUTCOMES

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.

Teaching methods

Lessons held by the instructor as well as cases study.

SYLLABUS/CONTENT

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 

Returns calculation. Stylized facts: lack of correlation; Quadratic Positive Correlation; Absence of Normality. 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.

RECOMMENDED READING/BIBLIOGRAPHY

Books and classes material will be available on Aulaweb.

TEACHERS AND EXAM BOARD

Ricevimento: Refer to teacher's homepage

Exam Board

PIERPAOLO UBERTI (President)

CRISTINA LUIGIA GOSIO

MARINA RESTA (President)

LUCA PERSICO

LESSONS

Teaching methods

Lessons held by the instructor as well as cases study.

LESSONS START

Sem: II

 

ORARI

L'orario di tutti gli insegnamenti è consultabile su EasyAcademy.

Vedi anche:

MODERN PORTFOLIO THEORY

EXAMS

Exam description

Written examination

Assessment methods

Written examination plus a report, according to what stated during the lessons by the teacher

Exam schedule

Date Time Location Type Notes
10/09/2020 09:00 GENOVA Scritto

FURTHER INFORMATION

Attendance

Not mandatory.