Financial investments: module i, portfolio theory; module ii, portfolio management

A.A. 2021/2022
12
Crediti massimi
80
Ore totali
SSD
SECS-P/09 SECS-P/11
Lingua
Inglese
Obiettivi formativi
The course aims to give an in-depth overview of modern portfolio theory and risk management in the context of portfolios of fixed-income securities and stocks. At the end of the course, students are expected to know: equilibrium in capital markets from a theoretical perspective; portfolio optimization and risk-return trade-off from an empirical perspective; techniques for measuring and managing risk.
The first module of the course (PORTFOLIO THEORY) examines risk-return trade-off, portfolio optimization, index models and the implications of modern portfolio theory for the equilibrium structure of expected rates of return on risky assets; the capital asset pricing model, multifactor descriptions of risk, the arbitrage pricing theory, the efficient market hypothesis, and principles of behavioral finance.
The second module of the course (PORTFOLIO MANAGEMENT) examines fixed-income security analysis, stock analysis, derivatives and portfolio performance evaluation. In particular, it focuses on bond prices and yields and the management of bond portfolios; equity valuation models and financial statement analysis; option, futures and other derivatives.
Risultati apprendimento attesi
The course aims to give an in-depth overview of modern portfolio theory and risk management in the context of portfolios of fixed-income securities and stocks. At the end of the course, students are expected to know: equilibrium in capital markets from a theoretical perspective; portfolio optimization and risk-return trade-off from an empirical perspective; techniques for measuring and managing risk.
The first module of the course (PORTFOLIO THEORY) examines risk-return trade-off, portfolio optimization, index models and the implications of modern portfolio theory for the equilibrium structure of expected rates of return on risky assets; the capital asset pricing model, multifactor descriptions of risk, the arbitrage pricing theory, the efficient market hypothesis, and principles of behavioral finance.
The second module of the course (PORTFOLIO MANAGEMENT) examines fixed-income security analysis, stock analysis, derivatives and portfolio performance evaluation. In particular, it focuses on bond prices and yields and the management of bond portfolios; equity valuation models and financial statement analysis; option, futures and other derivatives.
Programma e organizzazione didattica

Edizione unica

Responsabile
Periodo
Primo trimestre
Le lezioni frontali verranno tenute in modo sincrono online tramite MS Teams negli orari originariamente programmati. Slides ed eventuale materiale aggiuntivo saranno disponibili sul sito web del corso (Piattaforma Ariel).
Prerequisiti
Si presume una conoscenza di base di concetti economici, matematica e finanza. Il docente fornirà materiale aggiuntivo per aiutare gli studenti a familiarizzare con la terminologia ed i concetti finanziari di base, se necessario.
Modalità di verifica dell’apprendimento e criteri di valutazione
I metodi di insegnamento e apprendimento includono lezioni frontali, esperimenti in classe, brevi video, esercizi numerici, casi di studio, discussione in classe di papers accademici. Si prevede anche l'uso di un student response system (Kahoot o Vevox) per commenti e domande. Tutte le classi seguiranno un approccio iterativo.
Module I, Portfolio Theory
Programma
Questo corso fornisce un'introduzione alla moderna teoria finanziaria e alle sue applicazioni. Dopo una breve introduzione su asset classes, financial markets e security analysis, il corso si focalizzera' su portfolio theory, asset allocation, portfolio selection, equilibrio dei mercati dei capitali, CAPM, il modello APT e multi-factor model. Il corso esplorerà anche brevemente le ipotesi di investor rationality e investor irrationality ed il loro impatto sul processo decisionale in materia di investimenti.
Metodi didattici
I metodi di insegnamento ed apprendimento includono lezioni frontali, esperimenti in classe, brevi video, esercizi numerici, casi di studio, discussione in classe di papers accademici. Inoltre si prevede l'uso di student response system (Kahoot or Vevox) per commenti e domande. Tutte le classi seguiranno un approccio iterativo.
Materiale di riferimento
Reading list
- Bodie, Z., Kane, A., Marcus, A. J., 2011. Investments and Portfolio Management. McGraw Hill.
- Elton, E. J., Gruber, M. J., Brown, S. J., Goetzmann, W. J. 2011. Modern Portfolio Theory and Investment Analysis, Eighth Edition. Chapter 4-8, 16-17
- Barberis, N. and R. Thaler (2003) Chapter 18 A survey of behavioral finance. Handbook of the Economics of Finance, Volume 1, Part B, 2003, Pages 1053-1128
- Further journal articles as recommended.
Module II, Portfolio Management
Programma
The second part of the course focuses on portfolio management and covers fixed-income securities and bond pricing, term structure relationships, interest-rate risk management, equity valuation using fundamental analysis, derivatives, evaluation of portfolio performance and an overview of active portfolio management.
Instructional objectives that students are expected to achieve:
· Fixed-income securities: to understand bond prices and yields, the term structure of interest rates, managing bond portfolios.
· Equity valuation: to understand macroeconomic and industry analysis, equity valuation models, financial statement analysis.
· Derivatives: to have an overview of existing derivatives and their risk management applications.
· Portfolio performance evaluation: to understand the reasons for the use of risk-adjusted indicators, to calculate and use them.
Metodi didattici
The course will be taught through lectures and assignments.
60-minute written exam. Students will have the opportunity to undertake a team project with the aim to analyse empirical literature and to simulate fundamental analysis
Materiale di riferimento
Book
Bodie, Kane, Marcus (2014), Investments, McGraw Hill, 11th Global Edition, Chapters 14-20, 24-26.
Moduli o unità didattiche
Module I, Portfolio Theory
SECS-P/11 - ECONOMIA DEGLI INTERMEDIARI FINANZIARI - CFU: 6
Lezioni: 40 ore

Module II, Portfolio Management
SECS-P/09 - FINANZA AZIENDALE - CFU: 6
Lezioni: 40 ore
Docente: Vandone Daniela

Docente/i
Ricevimento:
Su appuntamento
Ricevimento:
Su appuntamento, daniela.vandone@unimi.it
stanza 24