Course 2011-2012 a.y.

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) - BIEMF (6 credits - II sem. - OP  |  SECS-P/01)

Course Director:
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.

Course Content Summary

• The basic theory of interest, introduction to fixed income
• Duration, the term structure, spot and forward rates
• Firm valuation
• 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
• The arbitrage pricing theory

Detailed Description of Assessment Methods

Final written exam, no partial exam

Textbooks

Z. Bodie, A. Kane, A. Marcus, Investments, Mc Graw Hill, IX edition.

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

Prerequisites

Statistics, mathematics and basic Excel.

Last change 29/06/2011 15:21