Course 2011-2012 a.y.

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

Course Director:
ANDREA BELTRATTI

Course Objectives

The course deals with methodologies to manage an equity portfolio. The first part of the course reviews basic statistics and econometrics. The second part discusses strategic asset allocation as well as market timing decisions about the proportions to be invested in stocks and bonds while the third part of the course presents stock picking models i.e. models to pick stocks in relative terms. Students learn how to apply such systematic methodologies i.e. how to define a financial strategy, to back-test it and to study the results of the back-test in statistical terms.

Course Content Summary

• Basic inference, the linear regression model
• Distribution of returns for stocks and portfolios
• Long run allocation between stocks and bonds
• Risk factors and expected returns, arbitrage and multifactor models
• Size and value strategies
• Momentum strategies
• Mean reversion strategies
• Earnings strategies

Detailed Description of Assessment Methods

Written, no partial exam. Attendance of the course is expected.

Textbooks

• BODI, KANE, MARCUS, Investments, Mc Graw Hill, 2009, 8th Edition, selected chapters
• KOOP, Analysis of financial data, John Wiley, selected chapters

 

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

Prerequisites

Students are supposed to have basic knowledge of mathematics, statistics and basic Excel.

Last change 21/04/2011 14:42