Course 2010-2011 a.y.

30055 - FINANCIAL ECONOMICS


BIEMF

Department of Finance

Course taught in English

Go to class group/s: 31
BIEMF (6 credits - II sem. - OBCUR  |  SECS-P/01)
Course Director:
ANDREA BELTRATTI

Classes: 31 (II sem.)
Instructors:
Class 31: ANDREA BELTRATTI



Course Objectives

Students will 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 will be used as a tool to compare risk and expected returns on optimal portfolios.


Course Content Summary

 

1: the basic theory of interest, introduction to fixed income

2: duration, the term structure, spot and forward rates

3: firm valuation

4: mean variance portfolio theory, diversification effects, portfolio problems

5: the general case of N risky assets, capital market line, investor demand and optimal portfolios

6: the capital asset pricing model, security market line

7: multifactor models, the arbitrage pricing theory

8: the arbitrage pricing theory


Detailed Description of Assessment Methods

Final written exam, no partial exam


Textbooks

  • Investments, Bodi, Kane e Marcus, Mc Graw Hill, VIII edition, 2009
Exam textbooks & Online Articles (check availability at the Library)

Prerequisites

 

Statistics, mathematics and basic Excel.

Last change 10/05/2010 09:33