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Course 2019-2020 a.y.

20135 - TEORIA DELLA FINANZA / THEORY OF FINANCE

FIN
Department of Finance

For the instruction language of the course see class group/s below

Go to class group/s: 15 - 16 - 17

FIN (6 credits - I sem. - OB  |  SECS-P/01)
Course Director:
CLAUDIO TEBALDI

Classi: 15 (I sem.)
Docenti responsabili delle classi:
Classe 15: CLAUDIO TEBALDI

Classe/i impartita/e in lingua italiana

Mission e Programma sintetico
MISSION

Il corso presenta un'introduzione alla teoria della finanza, con l'obiettivo di costruire una base comune per gli studenti del primo anno in vista dei corsi specializzati che vengono affrontati nei semestri successivi. Il corso si concentra sulle parti fondamentali per l'analisi della scelta di portafoglio degli individui, la determinazione del prezzo di mercato e del rendimento atteso dalle attività' finanziarie. Si inizia dall'analisi del comportamento degli investitori, sia nelle modalità' di massimizzazione dell'utilità' attesa sia nelle varianti di finanza comportamentale proposte negli ultimi anni nella ricerca. Si analizzano poi gli strumenti per la scelta statica di portafoglio, con particolare riferimento alla teoria e alla utilizzazione della frontiera efficiente. Si descrivono quindi le teorie del capital asset pricing model e dell'arbitrage pricing theory e si illustra il loro utilizzo in un numero di casi pratici.

PROGRAMMA SINTETICO
  • Il modello di utilita' attesa.
  • Approccio media-varianza.
  • La frontiera efficiente e i teoremi di separazione.
  • CAPM.
  • APT.
  • Il pricing kernel e la formulazione generale dei modelli di valutazione.

Risultati di Apprendimento Attesi (RAA)
CONOSCENZA E COMPRENSIONE
Al termine dell'insegnamento, lo studente sarà in grado di...
  •  Identificare le variabili rilevanti per le scelte di allocazione e di valutazione finanziaria.
  • Analizzare le scelte degli investitori in relazione ai vincoli ai quali sono soggetti.
  • Mettere in relazione le preferenze degli investitori con il trade-off rischio rendimento.
  • Conoscere le problematiche inerenti alla delega delle scelte di investimento.
  • Classificare i prodotti finanziari di investimento.
  • Utilizzare i modelli a fattori per quantificare le corrispondenti esposizioni e i relativi premi al rischio. 
  • Esplicitare le implicazioni dell'ipotesi di assenza dell'opportunità di arbitraggio in relazione alla valutazione dei titoli finanziari.
CAPACITA' DI APPLICARE CONOSCENZA E COMPRENSIONE
Al termine dell'insegnamento, lo studente sarà in grado di...

La corretta applicazione dei metodi di analisi del rischi e di gestione e valutazione finanziaria richiede in primo luogo la capacità di andare oltre la gergalità e la superficialità con la quale i concetti di rischio e di redditività dell'investimento vengono utilizzati nella cronaca giornalistica dei fatti economico-finanziari. Il corso guida lo studente ad una corretta definizione e comprensione di questi concetti, in particolare formalizza: 

  • La nozione di scelta ottima per un investirore razionale e avverso al rischio.
  • L'identificazione e classificazione delle fonti di rischio e rendimento.
  • La nozione di prezzo equo in relazione all'incontro della domanda e offerta di titoli del mercato.
  • Le implicazioni delle ipotesi di razionalità e di deviazione dalla razionalità degli agenti per la valutazione e la gestione dei titoli finanziari.
  • Le best practice di gestione finanziaria in relazione ai rischi soggiacenti. 

Modalità didattiche
  • Lezioni frontali
  • Testimonianze (in aula o a distanza)
  • Lavori/Assignment di gruppo
DETTAGLI
  • Testimonianza da parte di esperti operanti nel settore finanziario di istituzioni leader a livello europeo che porteranno la loro esperienza operativa.
  • Assignment: viene richiesto agli studenti di affrontare un test di problem solving utilizzando un software per il calcolo e una base di dati assegnata dal docente.

Metodi di valutazione dell'apprendimento
  Accertamento in itinere Prove parziali Prova generale
  • Prova individuale scritta (tradizionale/online)
  •     x
  • Assignment individuale (relazione, esercizio, dimostrazione, progetto etc.)
  • x    
    STUDENTI FREQUENTANTI E NON FREQUENTANTI
    • Gli assignment facoltativi funzionano simultaneamente come:
      • Verifica in itinere del grado di comprensione della materia raggiunto dallo studente.
      • Modalità per sviluppare le problem-solving abilities dello studente in relazione alle analisi quantitative dei rischi, dei rendimenti, delle preferenze degli investitori e dell'equilibrio del mercato dei capitali utilizzando modelli fattoriali e l'ipotesi di assenza di opportunità di arbitraggio.
    • Nel corso dell'esame scritto finale si richiede l'analisi di una problematica di gestione e una di valutazione finanziaria riferibili a casistiche  dibattute nella comunità economico-finanziaria internazionale. Le domande verificano la capacità dello studente di analizzare il problema specifico utilizzando il bagaglio di nozioni e di tecniche apprese durante il corso. Il percorso insito nelle domande richiede in primo luogo l'estrapolazione delle variabili rilevanti e dei trade-off insiti nel problema. Infine si richiede di procedere alla formalizzazione quantitativa del problema e all'utilizzo degli strumenti di analisi quantitativa appresi durante il corso per identificare la soluzione appropriata. 

    Materiali didattici
    STUDENTI FREQUENTANTI E NON FREQUENTANTI
    • Libro di Testo: M. GUIDOLIN, M. PEDIO, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, 2016.
    • Lecture Notes: C. TEBALDI, Asset Pricing Theory, disponibili su E-Learning.
    • Esercizi Svolti e Fogli Excel disponibili su E-Learning.
    Modificato il 10/06/2019 19:50

    Classes: 16 (I sem.)
    Instructors:
    Class 16: CLAUDIO TEBALDI

    Class group/s taught in English

    Mission & Content Summary
    MISSION

    The course presents an introduction to the theory of finance, with the goal of building up a common basis for all the first-year students in light of the specialized courses that are taken in the following semesters. The course focuses on portfolio choice analysis, equilibrium prices and expected returns from financial securities. The course starts with the analysis of investors' behavior, both in the form of expected utility maximization and in of recent behavioral models. The tools for static portfolio choice are then introduced, with particular regard to the theory and the practice of the efficient frontier. In the second part of the course attention is shifted from portfolio choice to asset pricing, considering methodologies of both equilibrium and arbitrage. The course describes theories like the CAPM and the arbitrage pricing theory and its applications to financial cases.

    CONTENT SUMMARY
    • Expected utility theory.
    • Mean-variance approach.
    • Efficient frontier and separation theorems.
    • CAPM.
    • APT.
    • Pricing Kernel approach to asset valuation.

    Intended Learning Outcomes (ILO)
    KNOWLEDGE AND UNDERSTANDING
    At the end of the course student will be able to...
    • Identify the relevant variables for optimal allocation and pricing of assets.
    • Analyze investors' choice in relation to their constraints.
    • Relate the preferences of investors with the risk-return trade-off they face in the market.
    • Know the problems inherent in the delegation of investment choice.
    • Classify the basic financial investment products.
    • Use factor models to quantify the corresponding exposures and related risk premiums.
    • Make explicit the implications of the absence of arbitrage opportunity in relation to the valuation of financial securities.
    APPLYING KNOWLEDGE AND UNDERSTANDING
    At the end of the course student will be able to...

    The correct application of risk analysis and financial management requires first of all the ability to go beyond the jargon and superficiality with which the concepts of risk and profitability are used in the journalistic chronicle of the financial-economic facts. The course guides the student to a correct definition and understanding of these concepts, in particular, it formalizes:

    • The notion of optimal choice for a rational and risk-averse investor.
    • The methods for identification and classification of risk and return sources.
    • The notion of fair price in relation to the meeting of the supply and demand of market securities.
    • The implications of the hypotheses of rationality and deviation from the rationality of the agents for the evaluation and management of financial securities.
    • Financial management best practices in relation to the underlying risks.

    Teaching methods
    • Face-to-face lectures
    • Guest speaker's talks (in class or in distance)
    • Group assignments
    DETAILS
    • We invite Guest speakers from leading financial institutions that are asked to present students real life professional applications of the techniques introduced in the lectures.
    • Students are required to solve a practical financial allocation or valuation problem using scientfic software excel spreadsheet.

    Assessment methods
      Continuous assessment Partial exams General exam
  • Written individual exam (traditional/online)
  •     x
  • Individual assignment (report, exercise, presentation, project work etc.)
  • x    
    ATTENDING AND NOT ATTENDING STUDENTS
    • Optional assignments are expected to work simultaneously as:
      • Ongoing verification of the degree of understanding of the subject achieved by the student
      • A way to develop student problem-solving abilities in relation to quantitative analyses of risk-return tradeoff, of investor preferences, of capital market equilibrium making use of factor models and the assumption of no arbitrage opportunities
    • The final written exam requires the analysis of a financial management problem, referring to case studies currently debated in the international economic-financial community. The questions verify the student's ability to analyze the specific problem using the wealth of knowledge and techniques learned during the course. The path inherent in the questions requires first of all the extrapolation of the relevant variables and the trade-offs inherent to the problem. Finally, it is required to proceed to the quantitative formalization of the problem and to the use of quantitative analysis tools learned during the course to identify the appropriate solutions.

    Teaching materials
    ATTENDING AND NOT ATTENDING STUDENTS
    • Textbook: M. GUIDOLIN, M. PEDIO, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, 2016.
    • Lecture Notes C. TEBALDI, Asset Pricing Theory, in the E-learning Area.
    • Excels spreadsheets and Past Exam Solutions Posted in the E-learrning Area.
    Last change 10/06/2019 19:53

    Classes: 17 (I sem.)
    Instructors:
    Class 17: CLAUDIO TEBALDI

    Class group/s taught in English

    Mission & Content Summary
    MISSION

    The course presents an introduction to the theory of finance, with the goal of building up a common basis for all the first-year students in light of the specialized courses that are taken in the following semesters. The course focuses on portfolio choice analysis, equilibrium prices and expected returns from financial securities. The course starts with the analysis of investors' behavior, both in the form of expected utility maximization and in of recent behavioral models. The tools for static portfolio choice are then introduced, with particular regard to the theory and the practice of the efficient frontier. In the second part of the course attention is shifted from portfolio choice to asset pricing, considering methodologies of both equilibrium and arbitrage. The course describes theories like the CAPM and the arbitrage pricing theory and its applications to financial cases.

    CONTENT SUMMARY
    • Expected utility theory.
    • Mean-variance approach.
    • Efficient frontier and separation theorems.
    • CAPM.
    • APT.
    • Pricing Kernel approach to asset valuation.

    Intended Learning Outcomes (ILO)
    KNOWLEDGE AND UNDERSTANDING
    At the end of the course student will be able to...
    • Identify the relevant variables for optimal allocation and pricing of assets.
    • Analyze investors' choice in relation to their constraints.
    • Relate the preferences of investors with the risk-return trade-off they face in the market.
    • Know the problems inherent in the delegation of investment choice.
    • Classify the basic financial investment products.
    • Use factor models to quantify the corresponding exposures and related risk premiums.
    • Make explicit the implications of the absence of arbitrage opportunity in relation to the valuation of financial securities.
    APPLYING KNOWLEDGE AND UNDERSTANDING
    At the end of the course student will be able to...

    The correct application of risk analysis and financial management requires first of all the ability to go beyond the jargon and superficiality with which the concepts of risk and profitability are used in the journalistic chronicle of the financial-economic facts. The course guides the student to a correct definition and understanding of these concepts, in particular, it formalizes:

    • The notion of optimal choice for a rational and risk-averse investor.
    • The methods for identification and classification of risk and return sources.
    • The notion of fair price in relation to the meeting of the supply and demand of market securities.
    • The implications of the hypotheses of rationality and deviation from the rationality of the agents for the evaluation and management of financial securities.
    • Financial management best practices in relation to the underlying risks.

    Teaching methods
    • Face-to-face lectures
    • Guest speaker's talks (in class or in distance)
    • Group assignments
    DETAILS
    • We invite Guest speakers from leading financial institutions that are asked to present students real life professional applications of the techniques introduced in the lectures.
    • Students are required to solve a practical financial allocation or valuation problem using scientfic software excel spreadsheet.

    Assessment methods
      Continuous assessment Partial exams General exam
  • Written individual exam (traditional/online)
  •     x
  • Individual assignment (report, exercise, presentation, project work etc.)
  • x    
    ATTENDING AND NOT ATTENDING STUDENTS
    • Optional assignments are expected to work simultaneously as:
      • Ongoing verification of the degree of understanding of the subject achieved by the student.
      • A way to develop student problem-solving abilities in relation to quantitative analyses of risk-return tradeoff, of investor preferences, of capital market equilibrium making use of factor models and the assumption of no arbitrage opportunities.
    • The final written exam requires the analysis of a financial management problem, referring to case studies currently debated in the international economic-financial community. The questions verify the student's ability to analyze the specific problem using the wealth of knowledge and techniques learned during the course. The path inherent in the questions requires first of all the extrapolation of the relevant variables and the trade-offs inherent to the problem. Finally, it is required to proceed to the quantitative formalization of the problem and to the use of quantitative analysis tools learned during the course to identify the appropriate solutions.

    Teaching materials
    ATTENDING AND NOT ATTENDING STUDENTS
    • Textbook: M. GUIDOLIN, M. PEDIO, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, 2016.
    • Lecture Notes C. TEBALDI, Asset Pricing Theory, Posted in the E-learning Area.
    • Excels spreadsheets and Past Exam Solutions Posted in the E-learrning Area.
    Last change 10/06/2019 19:56