Master’s degree in Banking and Finance

Asset Pricing Models

Course code
4S006069
Name of lecturers
Athena Picarelli, Francesco Rossi
Coordinator
Athena Picarelli
Number of ECTS credits allocated
9
Academic sector
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Language of instruction
Italian
Site
VERONA
Period
secondo semestre (lauree magistrali) dal Mar 1, 2021 al Jun 1, 2021.

Lesson timetable

Go to lesson schedule

Syllabus

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
a) pareto-optimality;
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.


TEACHING METHOD:

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.

Reference books
Author Title Publisher Year ISBN Note
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

Assessment methods and criteria

Exam and teaching procedures will be communicated as soon as the related university rules will be available.



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