Programme

PART I:
BOND PORTFOLIO
Theory of bond portfolios. Bond market structure. Semi-deterministic theories of immunization.
STOCK PORTFOLIO
Financial decision theory in conditions of uncertainty. The logic of choosing between risky alternatives. The theory of expected utility. Insurance contracts and utility theory.
The mean-variance analysis. The market and portfolio choices. The second-order characteristics of the portfolio. Average-variance optimization. The determination of averages and covariance. Diversification and risk measures.
The Capital Asset Pricing Model. General considerations on expectations and risk in efficient markets. CAPM as a model of balance. Measurement and estimation issues. Extensions and applications.
REAL ESTATE INVESTMENT
Real estate investments. Characteristics of the real estate market. Selection and management of real estate portfolios.

PART II:
DERIVATIVES
Forward contracts. Forward contracts and markets. The arbitrage relationship between spot and forward prices. Spot exchange and forward exchange.
Futures contracts. Features. Daily readjustment mechanism. Futures and spot prices. Hedging and speculation with futures contracts. Futures on stock indices and on bonds.
Financial options. The logic of the options. Call and put options. European and American options. Arbitrage restrictions for the option price. The binomial model. The risk-neutral evaluation. The evaluation of American options. More general options.

Core Documentation

Luenberger, D., Investment Science, OUP, 2013

Type of delivery of the course

Lectures, classes (also in Computer Lab), and seminars given by practitioners from the financial industry. N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

Attendance

Attendance at lectures is not compulsory

Type of evaluation

Written exam (one hour and half, two open-ended questions and one exercise) and oral exam. N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

Programme

PART I:
BOND PORTFOLIO
Theory of bond portfolios. Bond market structure. Semi-deterministic theories of immunization.
STOCK PORTFOLIO
Financial decision theory in conditions of uncertainty. The logic of choosing between risky alternatives. The theory of expected utility. Insurance contracts and utility theory.
The mean-variance analysis. The market and portfolio choices. The second-order characteristics of the portfolio. Average-variance optimization. The determination of averages and covariance. Diversification and risk measures.
The Capital Asset Pricing Model. General considerations on expectations and risk in efficient markets. CAPM as a model of balance. Measurement and estimation issues. Extensions and applications.
REAL ESTATE INVESTMENT
Real estate investments. Characteristics of the real estate market. Selection and management of real estate portfolios.

PART II:
DERIVATIVES
Forward contracts. Forward contracts and markets. The arbitrage relationship between spot and forward prices. Spot exchange and forward exchange.
Futures contracts. Features. Daily readjustment mechanism. Futures and spot prices. Hedging and speculation with futures contracts. Futures on stock indices and on bonds.
Financial options. The logic of the options. Call and put options. European and American options. Arbitrage restrictions for the option price. The binomial model. The risk-neutral evaluation. The evaluation of American options. More general options.

Core Documentation

Luenberger, D., Investment Science, OUP, 2013

Type of delivery of the course

Lectures, classes (also in Computer Lab), and seminars given by practitioners from the financial industry. N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

Attendance

Attendance at lectures is not compulsory

Type of evaluation

Written exam (one hour and half, two open-ended questions and one exercise) and oral exam. N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

Programme

PART I:
BOND PORTFOLIO
Theory of bond portfolios. Bond market structure. Semi-deterministic theories of immunization.
STOCK PORTFOLIO
Financial decision theory in conditions of uncertainty. The logic of choosing between risky alternatives. The theory of expected utility. Insurance contracts and utility theory.
The mean-variance analysis. The market and portfolio choices. The second-order characteristics of the portfolio. Average-variance optimization. The determination of averages and covariance. Diversification and risk measures.
The Capital Asset Pricing Model. General considerations on expectations and risk in efficient markets. CAPM as a model of balance. Measurement and estimation issues. Extensions and applications.
REAL ESTATE INVESTMENT
Real estate investments. Characteristics of the real estate market. Selection and management of real estate portfolios.

PART II:
DERIVATIVES
Forward contracts. Forward contracts and markets. The arbitrage relationship between spot and forward prices. Spot exchange and forward exchange.
Futures contracts. Features. Daily readjustment mechanism. Futures and spot prices. Hedging and speculation with futures contracts. Futures on stock indices and on bonds.
Financial options. The logic of the options. Call and put options. European and American options. Arbitrage restrictions for the option price. The binomial model. The risk-neutral evaluation. The evaluation of American options. More general options.

Core Documentation

Luenberger, D., Investment Science, OUP, 2013

Type of delivery of the course

Lectures, classes (also in Computer Lab), and seminars given by practitioners from the financial industry. N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

Attendance

Attendance at lectures is not compulsory

Type of evaluation

Written exam (one hour and half, two open-ended questions and one exercise) and oral exam. N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

Programme

PART I:
BOND PORTFOLIO
Theory of bond portfolios. Bond market structure. Semi-deterministic theories of immunization.
STOCK PORTFOLIO
Financial decision theory in conditions of uncertainty. The logic of choosing between risky alternatives. The theory of expected utility. Insurance contracts and utility theory.
The mean-variance analysis. The market and portfolio choices. The second-order characteristics of the portfolio. Average-variance optimization. The determination of averages and covariance. Diversification and risk measures.
The Capital Asset Pricing Model. General considerations on expectations and risk in efficient markets. CAPM as a model of balance. Measurement and estimation issues. Extensions and applications.
REAL ESTATE INVESTMENT
Real estate investments. Characteristics of the real estate market. Selection and management of real estate portfolios.

PART II:
DERIVATIVES
Forward contracts. Forward contracts and markets. The arbitrage relationship between spot and forward prices. Spot exchange and forward exchange.
Futures contracts. Features. Daily readjustment mechanism. Futures and spot prices. Hedging and speculation with futures contracts. Futures on stock indices and on bonds.
Financial options. The logic of the options. Call and put options. European and American options. Arbitrage restrictions for the option price. The binomial model. The risk-neutral evaluation. The evaluation of American options. More general options.

Core Documentation

Luenberger, D., Investment Science, OUP, 2013

Type of delivery of the course

Lectures, classes (also in Computer Lab), and seminars given by practitioners from the financial industry. N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.

Attendance

Attendance at lectures is not compulsory

Type of evaluation

Written exam (one hour and half, two open-ended questions and one exercise) and oral exam. N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used. Please view the institutional information channels prepared by the University for the purpose of timely knowledge of the emergency measures in force.