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ASSET PRICING AND PORTFOLIO CHOICE
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ASSET PRICING AND PORTFOLIO CHOICE
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Academic year 2022/2023
- Course ID
- ECO0262
- Teaching staff
- Giovanna Nicodano (Lecturer)
Raffaele Corvino (Assistant)
Andrea Tamoni (Lecturer) - Degree course
- Finance
Insurance and Statistics - Year
- 1st year
- Teaching period
- Second semester
- Type
- Distinctive
- Credits/Recognition
- 9
- Course disciplinary sector (SSD)
- SECS-P/01 - economics
- Delivery
- Blended
- Language
- English
- Attendance
- Obligatory
- Type of examination
- Written
- Prerequisites
-
Fundamentals of calculus, statistics, OLS econometrics, financial institutions.Python: instal Anaconda and have a look at Jupiter Notebook
know how to use i low control (while, if, etc..)
how to write functions.
Section 3,4,5 of https://inferentialthinking.com/chapters/intro.htmlIf you are not familiar with financial markets and institutions, please cover ch. 1-5 of the following textbook in the Fall.
Bodie Z., Kane A., Marcus A.J., Investments, 10th edition (or later)If you were never exposed to finance before, please check also Ch. 6-11, 13, 24, 27. We will cover these chapters during the course, but relatively quickly.
There will also be a Multiple Choice Test administered during the course. - Propedeutic for
- Advanced Asset Pricing (2 year, 6 CFU)
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Sommario del corso
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Course objectives
Provide concepts and methods underlying modern financial analysis. The focus will be on asset pricing and quantitative investment management.- Oggetto:
Results of learning outcomes
Students understand risks, their interactions, their management through portfolio choice, and the value of risk taking.- Oggetto:
Course delivery
The course is based on lectures and at least as many hours of at‐home reading and solving exercises. Recordings are not going to be distributed.Q&A in the classroom is welcome, also after discussing in small groups the topic that has been covered.Students will be invited to attend finance research seminars (webinars) and conferences at Collegio Carlo Alberto. We will distribute the schedule on Moodle.- Oggetto:
Learning assessment methods
The full exam tests both basic and advanced knowledge. There will also be a Matlab application.
1. Basics : multiple choice questions drawn from Bodie Kane and Marcus. If more than half of the answers are wrong, the advanced part will not be corrected.
I will offer a test of the basics during the course (April 17). Those who pass it (6/10 minimum) will not have to retake it in the Summer session (until July included, September excluded). From September onwards, all the exam parts have to be taken together.
2. Advanced Material: there will be two composite questions or exercises, each on a different topic, with limited space for precise answers to the questions. See the sample exam on Moodle. Questions will concern all parts of the program, including the part taught by Professor Tamoni.
Grading: the test of the basics is worth up to 10; composite questions on advanced material will be worth 10 points each.
In case exams revert online due to Covid, there will be an oral exam to validate the written grade in case is exceeds 26/30
Only in case of a covid emergency, the exam will be both ON MOODLE and WEBEX. You will receive a link the day before the exam, provided you signed up on ESSE3 as usual by the deadline. Please sign in Webex with your first and last name. Turn on your camera (facing you) and mic 15 minutes before the start of the Moodle test/exam and have your Smart Card ready. Log in Moodle 15 minutes before the exam.
3. MATLAB Application
Students will perform a quantitative analysis on stock market data, applying the programming skills and economic theory acquired during the course. They will compose a Matlab script, running the commands they think may be useful to complete the tasks. The Matlab script must be correctly working. Then, students will interpret their results through the lens of the economic and financial background covered during the lectures. The final output of this partn consists of two files: (1) the Matlab script, and (2) a Word document, where students will report their results and comments.
Timing: the tasks, together with the data, will be provided by Prof Corvino at the end of the course and he will also arrange a submission date for the two output files.
The tasks must be completed individually. It will be worth up to 3 points.
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Support activities
Lecture notes on advanced topics and other materials are distributed through the Moodle forum.
Please register online before the beginning of the course, on Moodle, adding a passport-like picture of yourself. Ensure you select the academic year 2022-2023.
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Program
First Part: Asset Pricing (Giovanna Nicodano). Until April 18
- Stylized facts, Risk and return, Mean Variance analysis, Capm and Apt, Performance evaluation
- Stochastic Discount Factor - Unified pricing theory nesting consumption-capm, linear pricing, generalized MVF, contingent claim pricing, DDM
- Optimal Risk Sharing
Two Topics from the list below
- households' portfolio choice
- estimation risk
- long term portfolio choice
- portfolio choice with non Gaussian returns
- ESG, pricing and portfolio choice
Second Part: Matlab Applications (Raffaele Corvino). From March 20 to April 4.
- PCA, capm and estimation (OLS & ML)
Third Part: Investments on Python + Jupiter Notebook (Andrea Tamoni). From 24/4 to 9/5
- Linear algebra, modeling randomness (mean, variance, …), annualization etc…). 24/4 15.15 Online
- Portfolio Math: Capital Allocation, International diversification), May 2
- Introduction to Trading Strategies + Timing Strategies, May 5
- Cross-sectional Equity Strategies (Value and Momentum), May 8, May 9Suggested readings and bibliography
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- Book
- Title:
- Investments
- Year of publication:
- 2018
- Publisher:
- Mc Graw
- Author:
- Bodie Z., Kane A., Marcus A.J.
- ISBN
- Notes:
- If at least 10 students request this service, Mc Graw will create a pdf for them with the required chapters only.,
- Required:
- Yes
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The complete reading list will be distributed on Moodle.
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Class schedule
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Note
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