Portfolio optimization

A.A. 2017/2018
Insegnamento per
6
Crediti massimi
40
Ore totali
Lingua
Inglese
Obiettivi formativi
The aim of the course is to introduce multiple criteria decision aid and stochastic optimal control techniques and apply them to financial portfolio optimization.

Struttura insegnamento e programma

Edizione attiva
Responsabile
Lezioni: 40 ore
Docente: La Torre Davide
STUDENTI FREQUENTANTI
Programma
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.
Propedeuticità
Mathematical Methods for Finance
Prerequisiti e modalità di esame
Closed-book exam.
Metodi didattici
Lecture, tutorial, and lab.
Materiale didattico e bibliografia
[1] Michael Doumpos, Constantin Zopounidis, Multicriteria Analysis in Finance, SpringerBriefs in Operations Research, 2014 (chapters 2,5)
[2] Fwu-Ranq Chang, Stochastic optimization in continuous time, Cambridge University Press, 2004 (chapters 4,5)
STUDENTI NON FREQUENTANTI
Programma
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.
Prerequisiti e modalità di esame
Closed-book exam.
Materiale didattico e bibliografia
[1] Michael Doumpos, Constantin Zopounidis, Multicriteria Analysis in Finance, SpringerBriefs in Operations Research, 2014 (chapters 2,5)
[2] Fwu-Ranq Chang, Stochastic optimization in continuous time, Cambridge University Press, 2004 (chapters 4,5)
Periodo
Primo trimestre
Periodo
Primo trimestre
Modalità di valutazione
Esame
Giudizio di valutazione
voto verbalizzato in trentesimi
Docente/i
Ricevimento:
In aspettativa. Il ricevimento e' sospeso.
Stanza 30, DEMM