Course 2010-2011 a.y.

Go to class group/s: 31

CLMG (6 credits - I sem. - OP  |  SECS-P/11) - M (6 credits - I sem. - OP  |  SECS-P/11) - IM (6 credits - I sem. - OP  |  SECS-P/11) - MM (6 credits - I sem. - OP  |  SECS-P/11) - AFC (6 credits - I sem. - OP  |  SECS-P/11) - CLAPI (6 credits - I sem. - OP  |  SECS-P/11) - CLEFIN-FINANCE (6 credits - I sem. - OP  |  SECS-P/11) - CLELI (6 credits - I sem. - OP  |  SECS-P/11) - ACME (6 credits - I sem. - OP  |  SECS-P/11) - DES-ESS (6 credits - I sem. - OP  |  SECS-P/11) - EMIT (6 credits - I sem. - OP  |  SECS-P/11)

Course Director:
MARCO NAVONE

Course Objectives

This course aims at analyzing the allocation process for a portfolio of financial assets developing theoretical knowledge and computer-related skills for the implementation of the most widely used models. Strong emphasis will be put on the implementation of dynamic equity portfolio strategies and on the evaluation of investment performances.

Course Content Summary

• Top-Down and Bottom-Up allocation models
• Strategic Asset Allocation: beyond the Markowitz Model
• International diversification and currency exposure management
• Asset class selection and evaluation
• Dynamic portfolio management
• Multifactor models and Tactical Asset Allocation
• Stock Selection and Stock screening Models
• Alternative investments: commodities and hedge funds
• Portfolio execution models: transaction cost analysis, program trading etc.
• Performance evaluation and risk management

Detailed Description of Assessment Methods

For attending students the evaluation will be based for the 50% on a group assignment and for the remaining 50% on a final written exam.

For non attending students the evaluation will be based for the 30% on an individual assignment and for the remaining 70% on a final written exam.

Textbooks

 

Text book will be communicated in the analytic syllabus distributed to students.

Exam textbooks & Online Articles (check availability at the Library)

Last change 11/06/2010 16:08