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|
|Emilio Barucci, Claudio Fontana||Financial markets theory (Edizione 2)||Springer||2017||9781447173212|
The final exam is a written test containing both exercises and theoretical questions.