Portfolio optimization

A.A. 2018/2019
Insegnamento per
6
Crediti massimi
40
Ore totali
SSD
SECS-S/06
Lingua
Inglese
Obiettivi formativi
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.

Struttura insegnamento e programma

Edizione attiva
Responsabile
SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE - CFU: 6
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
Prerequisites for this course include a good knowledge of the advanced mathematical tools presented in the Mathematical Methods for Finance course. Before taking this course it is recommended to pass the exam of Mathematical Methods for Finance.
Prerequisiti e modalità di esame
The exam will last for one hour. The exam consists of several exercises, it is written and closed-book. To pass the exam a student needs to achieve 18/30.
Attending students can earn extra points by solving the assignments and the project work.
Metodi didattici
Face-to-face lectures, assignments, project work.
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
The exam will last for one hour. The exam consists of several exercises, it is written and closed-book. To pass the exam a student needs to achieve 18/30.
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