Course 2015-2016 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. Students will learn how to apply systematic methodologies to build diversified portfolios, determine expected returns, evaluate performance.

Course Content Summary

• Risk, return and the historical record.
• The efficient market hypothesis.
• Behavioral finance and technical analysis.
• Empirical evidence on security returns.
• Portfolio performance evaluation.
• International diversification.
• Hedge funds.
• The theory of active portfolio management.
  

Detailed Description of Assessment Methods

Written, with intermediate exam. Evaluation will include active participation in class. Students may volunteer, alone or in small groups, to present to the class an empirical project of their choice regarding a stock-picking strategy. In the case of excess demand by students the option will be reserved to those who ranked higher in the intermediate exam.

Textbooks

• BODIE, KANE, MARCUS, Investments and portfolio management, Mc Graw Hill, tenth global edition, chapters 5, 8, 11, 12, 13, 24, 25, 26.

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

Prerequisites

Students are supposed to have basic knowledge of mathematics, statistics (linear regressions) and finance (the Markowitz optimization model, the Capital Asset Pricing Model and the Arbitrage Pricing Theory). Ideally, students should have already taken a course in Investments or Financial Economics.

Last change 11/06/2015 11:50