# MASSIMO GUIDOLIN

## Teaching Materials

- 20135 - TEORIA DELLA FINANZA / THEORY OF FINANCE
A.Y. 2014/2015 - Classes: 15, 16, 17
A.Y. 2015/2016 - Classes: 15, 16, 17
A.Y. 2016/2017 - Classes: 15, 16, 17
A.Y. 2017/2018 - Classes: 15, 16, 17

SYLLABUS DETTAGLIATO PER PARTE 1 DEL CORSO (* indica lettura obbligatoria)

0. Intro Lecture

Background material can be found at

http://didattica.unibocconi.eu/mypage/doc.php?idDoc=20966&IdUte=135242&idr=14063&Tipo=m&lingua=eng

http://didattica.unibocconi.eu/mypage/doc.php?idDoc=23431&IdUte=135242&idr=14063&Tipo=m&lingua=eng

1. Choice under Uncertainty and State-Preference Approach to Portfolio Decisions

*GUIDOLIN AND PEDIO, chapter 2.

Guidolin, M., “Preference Models in Portfolio Construction and Evaluation”, in Baker, H. Kent, and Greg Filbeck, eds. Portfolio Theory and Management. Oxford University Press, 2013, pp. 231-247.

2. Aversion to Risk and Optimal Portfolio Selection in the Mean-Variance Framework

*GUIDOLIN AND PEDIO, chapters 3 (assigned as a pre-requisite and covered in the prep course 20550) and 4, section 2.

3. Optimal Portfolio Selection: A Few Analytical Results

*GUIDOLIN AND PEDIO, chapter 4, section 1.

Warren, G. J., Choosing and Using Utility Functions in Forming Portfolios. Financial Analysts Journal, 75, 39-69, 2019.
Worked-out example in Excel (from the prep course) of how do you solve a general portfolio problem.
An expected utility maximizing script in Python as an example (many thanks to Volodymyr Ferenchak for providing it).

4. Human Capital, Background Risks, and Optimal Portfolio Decisions

*GUIDOLIN AND PEDIO, chapter 6.

5. Using Sentiment Indicators in Asset Management: Big Data, Deep Learning, and Artificial Intelligence

*Lecture Slides.

Beckers, S., Do Social Media Trump News? The Relative Importance of Social Media and News Based Sentiment for Market Timing. Journal of Portfolio Management, 45, 58-67, 2018.
Heston, S. L., and N., R., Sinha, News vs. Sentiment: Predicting Stock Returns from News Stories. Financial Analysts Journal, 73, 67-83, 2017.
Guidolin, M., Orlov, A. G., and M., Pedio, How Good Can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns. Quantitative Finance, 18, 139-169, 2018.

6. The Role of ESG Criteria and Constraints in the Asset Management Industry

Amel-Zadeh, A., and G., Serafeim, Why and How Investors Use ESG Information: Evidence from a Global Survey. Financial Analysts Journal, 74, 1-17, 2018.
Branch, M., Goldberg, L. R., and P., Hand, P.  A Guide to ESG Portfolio ConstructionJournal of Portfolio Management, 45(4), 61-66, 2019.
Statman, M., and D., Glushkov, The Wages of Social Responsibility. Financial Analysts Journal, 65, 33-46, 2009.

7. Dynamic, Sophisticated Asset Allocation in Action—Hedge Funds

*Lecture Slides. (long version with more details and appendices is here, part 1 part 2 part 3 part 4)

Getmansky, M., Lee, P. A., and A., W., Lo, Hedge Funds: A Dynamic Industry in Transition. Annual Review of Financial Economics, 7, 483-577, 2015.

Last update 13/01/2020