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

OBIETTIVI FORMATIVI
- to develop an understanding on how to optimally allocate funds across alternative asset classes to form a 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
RISULTATI ATTESI:
Having successfully completed this module, students will be able to:
- Develop general portfolio construction for a range of practical problems
- Appreciate the power of using mathematical optimization and analytical skills relevant to financial portfolio construction
- Understand various ways in generalizing the basic portfolio optimization models to more complex situations
- Demonstrate knowledge and understanding of basic principals in optimal portfolio constructions

This course module covers aspects of investing in financial markets, from the perspective of portfolio theory, through cases, assignments, and exercises on market data.
Specifically, the course consists of the following:
- Introduction (Brief review on statistics and investment theory and tools: risk, return, portfolio mathematics and utility theory)
- Capital allocation and efficient diversification
- Index models
- CAPM and APT
- Multifactor models
- Efficient Market Hypothesis

• 1.  (A) Bodie,Z., Kane, A., Marcus, A< Investments, 12 ed, McGrawHill, NY, 2021 » Pagine/Capitoli: 5,6,7,8,9,10,11,12, 24,25,26,27.
• 2.  (C) Bodie, Z., Kane, A, Marcus, A. Essentials of Investments 12ed. McGrawHill, New York, 2022 » Pagine/Capitoli: Part 2 - Portfolio Theory
• 3.  (C) Elton, Edwin J., Gruber, Martin J., Brown, Stephen J., Goetzmann, William N. Modern portfolio theory and investment analysis Wiley, NY, 2014 » Pagine/Capitoli: Parts 2 and 2

All the materials used during the class will be uploaded on the teacher's personal page.

• - interactive lectures
  - case studies
  - homework problems and data exercises
  

• The final score will be calculated as follows:
  Homework/Data exercises 30% (points awarded only if the minimum requested grade (18) is obtained at the final exam.)
  Final exam 70%
  
  The final exam is written, and it includes two sections, respectively :
  - multiple choice questions section, aimed to assess the level of understanding of the theory,
  - numerical problems section, aimed to evaluate the individual ability to put in practice theoretical concepts of portfolio theory
  

English

English