Portfolio Theory provides a first introduction to the main themes of financial economics. Students will not only be at ease with the main concepts of standard finance (MPT, Markowitz, etc.) but also be aware of the ideas that have marked the evolution of the discipline, such as Arrow-Debreu pricing, arbitrage pricing, and dynamic models.
Prerequisiti
Solid knowledge in Mathematics (including calculus, linear algebra, probability, and optimisation). Basic knowledge in Statistics (descriptive statistics, regression analysis). Programming skills: Matlab and Excel.
Metodi didattici
Classroom lectures. Matlab/Excel laboratory.
Verifica Apprendimento
Final oral interview. A bonus of two points will be awarded to students attending at least 75% of seminars and lecture series advertised by the instructor.
Testi
Danthine, J-P. and J. Donaldson, 2005, Intermediate Financial Theory, 2nd edition, Elsevier Academic Press.
Contenuti
01 Introduction: The Challenges of Asset Pricing 02 Portfolio Theory: Theory and laboratory 03 Arrow-Debreu Pricing 04 Risk Neutral Pricing 05 Arbitrage Pricing Theory and Factor Models 06 The Consumption Capital Asset Pricing Model 07 Dynamic Models: the binomial model. Theory and laboratory.
