The course aims at providing some basic knowledge on some fundamental economic models which can be considered as preliminary to further studies in Finance.
Prerequisiti
Basic knowledge of linear algebra, probability theory and statistics
Metodi didattici
Lectures and tutorials will be the main tool of the course. A special focus will be devoted on the role of assumptions and on the economic and financial interpretation of the models
Verifica Apprendimento
The exam will consist in an oral discussion on the main topics of the course, with a particular focus on the economic interpretation of the models
Testi
D. Kreps, Notes on the theory of choice, Westview Press 1988
I. Gilboa, Theory of Decision under Uncertainty, Cambridge University Press, 2009
Constantinides, G.M., Malliaris, A.G., Portfolio Theory, in: Jarrow et al eds, Handbooks in OR & MS, Vol. 9, Chapter 1.
E.J. Elton, M.J. Gruber, S.J. Brown, W.N. Goetzman, Modern Portfolio Theory and Investment Analysis, Wiley, 2014.
Brandimarte P., An introduction to Financial Markets, John Wiley and Sons, 2018.
Second part McCandless, George. The ABCs of RBCs: An Introduction to Dynamic Macroeconomic Models. Harvard University Press, 2008. Cochrane, John. Asset pricing. Princeton University press, 2005. Galì, Jordi. Monetary Policy, Inflation, and the business cycle: An Introduction to the New Keynesian Framework and Its Applications. Princeton University press, 2015.
Contenuti
Utility theory and risk aversion. An introduction to the classical mean-variance portfolio selection models with and without a riskless asset. The Capital Asset Pricing Model will be studied and the role of diversification in distinguishing systematic and unsystematic risk will be emphasized. Factor models: the Arbitrage Pricing Theory . Principles of National accounting: different approaches of measuring Gross domestic products, nominal and real GDP. Macroeconomics models with particular focus on the mechanism of asset pricing and interest rate. Among the others, Solow growth model, Real business cycle model, some basics of new Keynesian models with the introduction of nominal rigidities. Asset pricing consumption model with its main intuitions.
