Portfolio Optimization

A.Y. 2018/2019
Lesson for
6
Max ECTS
40
Overall hours
SSD
SECS-S/06
Language
English
Learning objectives
Aims and objectives: This course aims to introduce students to the fields of multiple criteria decision making and stochastic optimal control. These advanced mathematical techniques are then used to solve portfolio optimization and selection problems.

Course structure and Syllabus

Active edition
Yes
Responsible
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES - University credits: 6
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