Course 2024-2025 a.y.

30180 - EQUITY PORTFOLIO MANAGEMENT

Department of Finance

Course taught in English

Student consultation hours
Go to class group/s: 31
CLEAM (6 credits - I sem. - OP  |  SECS-P/01) - CLEF (6 credits - I sem. - OP  |  SECS-P/01) - CLEACC (6 credits - I sem. - OP  |  SECS-P/01) - BESS-CLES (6 credits - I sem. - OP  |  SECS-P/01) - WBB (6 credits - I sem. - OP  |  SECS-P/01) - BIEF (6 credits - I sem. - OP  |  SECS-P/01) - BIEM (6 credits - I sem. - OP  |  12 credits SECS-P/01) - BIG (6 credits - I sem. - OP  |  12 credits SECS-P/01) - BEMACS (6 credits - I sem. - OP  |  SECS-P/01) - BAI (6 credits - I sem. - OP  |  SECS-P/01)
Course Director:
ANDREA BELTRATTI

Classes: 31 (I sem.)
Instructors:
Class 31: ANDREA BELTRATTI


Suggested background knowledge

Basic statistics; matrix multiplication; basic Excel

Mission & Content Summary

MISSION

The course aims to develop students’ conceptual understanding of equity portfolio management issues and their knowledge of the problems and proposed solutions. It will consider several areas like portfolio optimization, expected return determination, index models and CAPM, multi-factor models, together with a focus on new markets/ tools associated with private investment. It will also focus on sustainability concerns.

CONTENT SUMMARY

·        The basics of portfolio theory with a risk-free asset

·       The basic of portfolio theory with risky assets and the benefits of diversification

·       The index model

·       The Capital Asset Pricing Model

·       The multi-factor model

·       Private markets

·       Sustainability in finance

Intended Learning Outcomes (ILO)

KNOWLEDGE AND UNDERSTANDING

At the end of the course student will be able to...

·       Understand the formation of optimized portfolios

·       Contribute to estimation of inputs of optimized portfolios

·       Estimate alpha and beta parameters from OLS regressions

·       Evaluate parameters based on statistical inference

·       Understand multi-factor model in practical applications

·       Distinguish between sustainability and ESG

·       Understand optimization in the context of private and public markets

APPLYING KNOWLEDGE AND UNDERSTANDING

At the end of the course student will be able to...

·       Manage individual wealth

·       Understand what they like to further understand in the context of asset management

·       Apply portfolio optimization models

·       Do performance evaluation

Teaching methods

  • Lectures
  • Practical Exercises

DETAILS

The lectures will use a database initially provided to the students to apply the theoretical techniques analyzed in the course

Assessment methods

  Continuous assessment Partial exams General exam
  • Written individual exam (traditional/online)
     x

ATTENDING AND NOT ATTENDING STUDENTS

 written exam based on multiple choice questions


Teaching materials


ATTENDING AND NOT ATTENDING STUDENTS

Beltratti, A., Financial markets and investments, 2024, EGEA

Last change 23/07/2024 09:41