Portfolio Optimization

A.Y. 2017/2018
Lesson for
6
Max ECTS
40
Overall hours
Language
English
Learning objectives
The aim of the course is to introduce multiple criteria decision aid and stochastic optimal control techniques and apply them to financial portfolio optimization.

Course structure and Syllabus

Active edition
Yes
Responsible
Lessons: 40 hours
Professor: La Torre Davide
ATTENDING STUDENTS
Syllabus
Review of scalar optimization. Main concepts of multiple criteria analysis. Methodological approaches. Portfolio management. Asset screening and selection. The mean-variance framework. Alternative portfolio selection criteria.
Refresh of dynamic programming. Stochastic dynamic programming. The HJB equation. Verification theorem. Existence and uniqueness of the value function. How to solve it. Consumption and portfolio rules. Index bonds. Merton's model. Fisher's index bond model.
NON-ATTENDING STUDENTS
Syllabus
Review of scalar optimization. Main concepts of multiple criteria analysis. Methodological approaches. Portfolio management. Asset screening and selection. The mean-variance framework. Alternative portfolio selection criteria.
Refresh of dynamic programming. Stochastic dynamic programming. The HJB equation. Verification theorem. Existence and uniqueness of the value function. How to solve it. Consumption and portfolio rules. Index bonds. Merton's model. Fisher's index bond model.
Lesson period
First trimester
Lesson period
First trimester
Assessment methods
Esame
Assessment result
voto verbalizzato in trentesimi
Professor(s)
Reception:
On leave. Office hours are suspended.
Room 30, DEMM