Students are expected to have completed core courses in basic finance, statistics and mathematics

- to develop an understanding on how to optimally allocate funds across alternative asset classes to forma portfolio,

- to expand the knowledge of CAMP and to use alternative models in determining the expected returns

- to examine market efficiency in practice

- to construct and use alternative methodologies to evaluate portfolio performance; to examine alternative portfolio strategies

The course covers the following topics.:

·       Risk, Return, Portfolio Mathematics and Utility Theory;

·        Optimal Portfolio Selection and Optimal Allocation between the Optimal Portfolio and the Risk Free Asset;

·       Models of Risk and Expected Returns;

·       Global Portfolio Diversification;

·       Applied Portfolio Strategies and Performance Evaluation

(A) Bodie, Z., Kane, A, Marcus,A.(2021) Investments, Mc,Graw Hill, NY;  chapters: 5,6,7,8,9,10,11,12, A 24,25,26,27

A not mandatory team work project, could be proposes for groups of maximum 4 students.

Supplementary points will be awarded to participating students, which will be added to the final grade.

OBS. The points will be added to the final grade IF the written exam is evaluated with minimum18 points.

• Interactive lectures, seminars, case studies, assignments.

• The final exam is written, and it will include:

  - multiple choice questions, aimed to assess the level of understanding of the theory, 

  - open questions, in order to test the ability to discuss issues on portfolio theory and portfolio diversification,

  - numerical problems, aimed to evaluate the individual ability to put in practice theoretical concepts of portfolio theory

   

  The final score will be calculated as follows: 

  HomeWorks/Data exercises 30%

  Final exam 70%

  
  

English Language

English