The course aims to provide a quantitative approach for dealing with investment and consumption problems under uncertainty. Fundamental topics presented in the course are also related to the efficient structure of financial markets and equilibrium theory.
Students may find useful to follow this course after those of Mathematical Finance, Financial Risk management and, Portfolio Management and Equity markets.
1. Choices in presence of risk: preliminary aspects
a) utility functions;
b) risk aversion;
c) stochastic dominance.
2. Portfolio theory in a single time period
a) utility maximization;
b) mean-variance. Markowitz portfolio theory;
c) insurance, saving and consumption.
3. General equilibrium theory
b) equilibrium theory;
c) fundamental theorem of asset pricing;
d) CCAPM, CAPM e APT models.
4. Asset pricing models
a) historical risk and return;
b) markets efficiency;
c) multi-factor models: CAPM;
d) real options.
5. Dynamic portfolio theory, multiple time periods
a) optimal investment and consumption: dynamic programming principle;
b) equilibrium theory and fundamental theorem of asset pricing;
c) optimal investment and consumption in continuous time: Merton problem.
6. Technical analysis
a) the market system, price and volume dynamics as a function of time;
b) heuristic-quantitative models: indicators and oscillators, logistic function;
c) from basic models to operating systems, qualification of the current market phase, definition of operational
strategy, evaluation of the evolutionary potential and time horizon.
The course articulates in lectures. Attending lectures is strongly recommended but not compulsory. Lecture slides will be made available on Moodle platform.
Tutoring activities are scheduled during the course.
|John J. Murphy||Analisi tecnica dei mercati finanziari||Hoepli, Milano||2002|
|Berk, J. and DeMarzo, P.||Corporate Finance (Edizione 3)||Pearson||2014||Chapters 10-13, 22.|
|Emilio Barucci, Claudio Fontana||Financial markets theory (Edizione 2)||Springer||2017||9781447173212|
The exam consists of a written test of two hours with exercises and theoretical questions on the whole program. The results obtained in the exercises assigned by the professor during the course contribute to the final evaluation.
*Emergency Coronavirus (summer section 2020) : The exam consists of a written multiple choice test and an oral exam for all those who will pass the written test with a mark greater or equal than 15/30. The results obtained in the exercises assigned by the professor during the course constitute a bonus up to 3/30 on the final evaluation.