Portfolio optimization
A.A. 2020/2021
Obiettivi formativi
This course aims to introduce students to optimization methods for the construction of optimal portfolios.
The identification of the optimal strategies will be presented under two different setups. In the first investors are not allowed to rebalance the portfolio during the period of the investment and the optimal weights are fixed at the beginning of the time horizon by maximizing some measures of investor's satisfaction or by minimizing an appropriate risk measure. In this context specific methodologies will be discussed based on the nature of the assets considered in the portfolio.
In the second setup the possibility of rebalancing the structure of portfolio are introduced in discrete and continuous time framework.
The identification of the optimal strategies will be presented under two different setups. In the first investors are not allowed to rebalance the portfolio during the period of the investment and the optimal weights are fixed at the beginning of the time horizon by maximizing some measures of investor's satisfaction or by minimizing an appropriate risk measure. In this context specific methodologies will be discussed based on the nature of the assets considered in the portfolio.
In the second setup the possibility of rebalancing the structure of portfolio are introduced in discrete and continuous time framework.
Risultati apprendimento attesi
At the end of the course students will be able to determine optimal portfolio strategies based on investor preferences. Students will become familiar with the construction of portfolios in a static and in a dynamic context, will possess a proper terminology and will acquire mathematical tools that allow to cope with portfolio optimization problems that arise in financial institutions or in insurance companies.
Periodo: Primo trimestre
Modalità di valutazione: Esame
Giudizio di valutazione: voto verbalizzato in trentesimi
Corso singolo
Questo insegnamento non può essere seguito come corso singolo. Puoi trovare gli insegnamenti disponibili consultando il catalogo corsi singoli.
Programma e organizzazione didattica
Edizione unica
Responsabile
Periodo
Primo trimestre
SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - CFU: 6
Lezioni: 40 ore
Docente:
Mercuri Lorenzo
Docente/i
Ricevimento:
Giovedì dalle 13.00 alle 16.00
stanza 33 III piano e Teams