Insegnamento a.a. 2016-2017

30180 - EQUITY PORTFOLIO MANAGEMENT


CLEAM - CLEF - CLEACC - BESS-CLES - WBB - BIEF - BIEM

Department of Finance

Course taught in English

Go to class group/s: 31
CLEAM (6 credits - I sem. - OP  |  SECS-P/01) - CLEF (6 credits - I sem. - OP  |  SECS-P/01) - CLEACC (6 credits - I sem. - OP  |  SECS-P/01) - BESS-CLES (6 credits - I sem. - OP  |  SECS-P/01) - WBB (6 credits - I sem. - OP  |  SECS-P/01) - BIEF (6 credits - I sem. - OP  |  SECS-P/01) - BIEM (6 credits - I sem. - OP  |  SECS-P/01)
Course Director:
ANDREA BELTRATTI

Classes: 31 (I sem.)
Instructors:
Class 31: ANDREA BELTRATTI



Course Objectives

The course deals with methodologies to manage an equity portfolio. Students will learn how to apply systematic methodologies to build diversified portfolios, determine expected returns, evaluate performance.


Course Content Summary

  • Risk, return and the historical record.
  • The efficient market hypothesis.
  • Behavioral finance and technical analysis.
  • Empirical evidence on security returns.
  • Portfolio performance evaluation.
  • International diversification.
  • Hedge funds.
  • The theory of active portfolio management.

Detailed Description of Assessment Methods

Written, no intermediate exam, including the extra material put on the students yoU@B Diary during the course. Evaluation will include active participation in class.

Textbooks

Z. BODIE, A. KANE, A.J. MARCUS, Investments, Mc Graw Hill, tenth global edition:
  • chapter 5 (except section 5.9 on long-term investments);
  • chapter 8 (index model);
  • chapter 11 (the EMH);
  • chapter 12 (behavioural finance);
  • chapter 13 (empirical evidence);
  • chapter 24 (performance evaluation except the potential value of market timing and market timing as a call option and the value of imperfect forecasting)
  • chapter 25 (international diversification)
  • chapter 26 (hedge funds except portable alpha). 
Exam textbooks & Online Articles (check availability at the Library)

Prerequisites

Students are supposed to have basic knowledge of mathematics, statistics (linear regressions) and finance (the Markowitz optimization model, the Capital Asset Pricing Model and the Arbitrage Pricing Theory). Ideally, students should have already taken a course in Investments or Financial Economics.

Last change 21/03/2016 12:31