6095 - FINANCIAL ECONOMICS
BIEM
Department of Finance
Course taught in English
Go to class group/s: 31
Course Director:
BARBARA ALEMANNI
BARBARA ALEMANNI
Course Objectives
Students will gain a general knowledge about management of stock and bond portfolios. After a brief introduction on stock and bond markets, the course looks at the main tools for managing portfolios, like diversification across assets, models for determining expected returns, as well as tools which are specific to the bond market like duration and the term structure of interest rates. The efficient frontier will be used as a tool to compare risk and expected returns on optimal portfolios.
Course Content Summary
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1: the basic theory of interest, introduction to fixed income |
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2: duration, the term structure, spot and forward rates |
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3: firm valuation |
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4: mean variance portfolio theory, diversification effects, portfolio problems |
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5: the general case of N risky assets, capital market line, investor demand and optimal portfolios |
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6: the capital asset pricing model, security market line |
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7: multifactor models, the arbitrage pricing theory |
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8: the arbitrage pricing theory |
Detailed Description of Assessment Methods
Final written exam, no partial exam
Textbooks
- Investments, Bodi, Kane e Marcus, Mc Graw Hill, VIII edition, 2009
Prerequisites
Statistics, mathematics and basic Excel
Last change 10/05/2010 09:40