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Course 2016-2017 a.y.

30055 - FINANCIAL ECONOMICS


CLEAM - BESS-CLES - BIEF - BIEM
Department of Finance

Course taught in English


Go to class group/s: 31 - 32

CLEAM (6 credits - II sem. - OP  |  SECS-P/01) - BESS-CLES (6 credits - II sem. - OP  |  SECS-P/01) - BIEF (6 credits - II sem. - OP  |  SECS-P/01)
Course Director:
ANDREA BELTRATTI

Classes: 31 (II sem.) - 32 (II sem.)
Instructors:
Class 31: ANDREA BELTRATTI, Class 32: ANDREA BELTRATTI


Course Objectives

Students gain a general knowledge about management of stock and bond portfolios. After a brief introduction on stock and bond markets, the course looks at the main tools for managing portfolios, like diversification across assets, models for determining expected returns, as well as tools which are specific to the bond market like duration and the term structure of interest rates. The efficient frontier is used as a tool to compare risk and expected returns on optimal portfolios.


Intended Learning Outcomes
Click here to see the ILOs of the course BIEF

Course Content Summary
  • The basic theory of interest, introduction to fixed income.
  • Duration, the term structure, spot and forward rates.
  • The expectations theory, management of bond portfolios.
  • Mean variance portfolio theory, diversification effects, portfolio problems.
  • The general case of N risky assets, capital market line, investor demand and optimal portfolios.
  • The capital asset pricing model, security market line.
  • Multifactor models, the arbitrage pricing theory.

Teaching methods
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Assessment methods
Click here to see the assessment methods BIEF

Detailed Description of Assessment Methods
Final written exam, no partial exam.
The exam is aimed at testing the overall knowledge of the student and includes questions that covers the different chapters.
A typical format involves 5 short questions (2 points each) and 4 long questions (5 points each). There may be minor modifications to this depending on the quality of the questions. In-class participation will be evaluated by each teacher in an individual way, as communicated during classes.
In-class participation is a bonus that is added to the grade (that may reach the maximum of 30) of the written paper. Non-programmable calculators may be required if the questions require computations, but are not allowed if the questions do not require any computation.

Textbooks
Z. BODIE, A. KANE. A.J. MARCUS, Investments, Mc Graw Hill, tenth global edition:
  • chapter 6 (capital allocation to risky assets);
  • chapter 7 (optimal risky portfolios except the section on “optimal portfolios and nonnormal returns” and section 7.5 on risk pooling);
  • chapter 9 (the capital asset pricing model);
  • chapter 10 (APT and multifactor models except section on “APT and portfolio optimization in a single-index market”);
  • chapter 14 (bond prices and yields);
  • chapter 15 (the term structure);
  • chapter 16 (managing bond portfolios).
The presentations used during the lectures are available on your yoU@B.

Prerequisites

Statistics, Mathematics.

Last change 21/03/2016 12:31

BIEM (6 credits - II sem. - OP  |  SECS-P/01)
Course Director:
ANDREA BELTRATTI

Classes: 31 (II sem.) - 32 (II sem.)
Instructors:
Class 31: ANDREA BELTRATTI, Class 32: ANDREA BELTRATTI


Course Objectives
This is an introductory course about investing. Students gain a general knowledge about management of stock and bond portfolios. The course looks at the main tools for managing portfolios, like diversification across assets, models for determining expected returns, as well as tools which are specific to the bond market like duration and the term structure of interest rates. The efficient frontier is used as a tool to compare risk and expected returns on optimal portfolios. We cover few chapters from the textbook, but students need to understand these well.

Course Content Summary
  • Capital allocation to risky assets
  • Optimal risky portfolios
  • The capital asset pricing model
  • APT and multifactor models
  • Bond prices and yields
  • The term structure
  • Managing bond portfolios

Detailed Description of Assessment Methods
Final written exam, no partial exam.
In order to motivate individual study taking place parallel to what is done in the classroom, there will be several sessions where the problems at the end of each chapter will be solved in class by the students.
Valuation will include extra points (up to three points) for students actively participating in class. Extra points will be assigned strictly on the basis of the Professor judgement. You can still get full marks even with no extra points in that the maximum grade of the final exam will be 30/30.

Textbooks
Z. BODIE, A. KANE, A.J. MARCUS, Investments, Mc Graw Hill, tenth global edition:
  • chapter 6 (capital allocation to risky assets);
  • chapter 7 (optimal risky portfolios except the section on “optimal portfolios and nonnormal returns” and section 7.5 on risk pooling);
  • chapter 9 (the capital asset pricing model);
  • chapter 10 (APT and multifactor models except section on “APT and portfolio optimization in a single-index market”);
  • chapter 14 (bond prices and yields);
  • chapter 15 (the term structure);
  • chapter 16 (managing bond portfolios).
The presentations used during the lectures are available on your yoU@B.

Prerequisites
Statistics, mathematics.
Last change 24/05/2016 12:09