The course aims at providing some basic knowledge on some fundamental economic models which can be considered as preliminary to further studies in Finance.
Course Prerequisites
Basic knowledge of linear algebra, differential calculus. probability theory and statistics. Basic programming skills (Matlab).
Teaching Methods
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
Assessment Methods
The exam will consist in an oral discussion on the main topics of the course
Texts
D. Kreps, Notes on the theory of choice, Westview Press 1988 P. Simon and L. Blume, Mathematics for economists , New York ; London : Norton, 1994. Brandimarte P., An introduction to Financial Markets, John Wiley and Sons, 2018. Danthine, J-P. and J. Donaldson, Intermediate Financial Theory, 4th edition, Elsevier Academic Press, 2025. Elton, E.J. and Gruber, M.J. and Brown, S.J. and Goetzmann, W.N., Modern Portfolio Theory and Investment Analysis, 9th edition, Wiley.
Contents
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;
