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. Basic programming skills (Matlab).
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. Danthine, J-P. and J. Donaldson, 2005, Intermediate Financial Theory, 2nd edition, Elsevier Academic Press.
Contenuti
First part: 1) Review on convexity and optimization theory; 2) Preferences; 3) Utility representations; 4) Risk Aversion; 5) Stochastic Dominance; 6) Mean-Variance models and classical portfolio selection Second part: 1) Mean-Variance; Matlab implementation and real data examples 2) Beyond mean-variance: alternative risk-measures 3) Estimation of the variance covariance matrix - Single Index and Multi Index models 4) CAPM;
