30055 - FINANCIAL ECONOMICS
CLEAM - BESS-CLES - BIEMF
Department of Finance
Course taught in English
CLEAM (6 credits - II sem. - OP | SECS-P/01) - BESS-CLES (6 credits - II sem. - OP | SECS-P/01) - BIEMF (6 credits - II sem. - OBCUR | SECS-P/01)
Course Director:
ANDREA BELTRATTI
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
Topics
- 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
Detailed Description of Assessment Methods
Final written exam, no partial exam. Valuation includes extra points for students volunteering to solve and explain in class assigned problem sets.
Textbooks
Z. Bodie, A. Kane, A. Marcus, Investments, Mc Graw Hill, IX edition.
Prerequisites
Statistics, mathematics
Last change 18/04/2013 11:57