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Teaching Materials

   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

*Lecture Slides.

Background material can be found at


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

*Lecture Slides.


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

*Lecture Slides.

*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

*Lecture Slides.

*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

*Lecture Slides.



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

*Lecture Slides. (additional material here)

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 13/10/2019