30180 - EQUITY PORTFOLIO MANAGEMENT
CLEAM - CLEF - CLEACC - BESS-CLES - WBB - BIEF - BIEM - BIG
Course taught in English
Go to class group/s: 31
Class 31: ANDREA BELTRATTI
The course deals with methodologies to manage an equity portfolio. Students learn how to apply systematic methodologies to build diversified portfolios, determine expected returns, evaluate performance.
- 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.
- Z. BODIE, A. KANE, A.J. MARCUS, Investments, Mc Graw Hill, 10th 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).
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.