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ASSET PRICING AND PORTFOLIO CHOICE

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ASSET PRICING AND PORTFOLIO CHOICE

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Academic year 2023/2024

Course ID
ECO0262
Teachers
Giovanna Nicodano (Lecturer)
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
Formal authority
Language
English
Attendance
Obligatory
Type of examination
Written
Prerequisites

1. All first semester courses of the Finance curriculum help master this course.
2. You should know the institutional arrangements of financial markets. They are covered in ch. 1-4 of the Bodie Kane Marcus textbook.
3. To attend Andrea Tamoni's lectures, please complete the second semester course "Computer Science with Python" and "Additional IT Training".
As an alternative, read Section 3,4,5 of https://inferentialthinking.com/chapters/intro.html

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 investment management.

 

 
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Results of learning outcomes

Understanding risks, their interactions, their value and their management through portfolio choice.

 

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Program

This course presents methods for portfolio choice and asset pricing.
Then it introduces to some trading strategies, implementing them in Python.

FIRST PART: Portfolio Choice (Giovanna Nicodano).
Mean Variance analysis.
Households' portfolio choice.
Multiperiod portfolio choice.

SECOND PART: Asset Pricing (Giovanna Nicodano).

Stochastic Discount Factor.
Consumption-capm, linear pricing, generalized MVF.
Contingent claim pricing.
Dividend Discount Model and Market Efficiency.
Optimal Risk Sharing.

Other Topics from the list below if time allows
- illiquidity, asymmetric information and microstructure
- estimation risk
- alternatives: portfolio choice with non Gaussian returns 
- survivorship bias and sample prices

THIRD PART: Trading Strategies (Andrea Tamoni)
- International diversification
- Introduction to Trading Strategies + Timing Strategies
- Cross-sectional Equity Strategies (Value and Momentum)

The final program will be available on Moodle.


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Course delivery

 
The course is based on lectures and at least as many hours of at‐home reading and solving exercises. Q&A in the classroom is welcome.
 
Students may also attend events at Collegio Carlo Alberto. Please check:
https://www.carloalberto.org/cca-finance/
This is an elective activity.
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Learning assessment methods

Written exam: there will be three 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.

20'-30' per question. 10 points each.

Questions may refer to discussion in the classroom that may not be reflected in the material.   

 

 

 

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Support activities

Office Hours (in presence or webex): send an email.

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 2023-2024.

 

 

Suggested readings and bibliography



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Book
Title:  
Investments
Year of publication:  
2021
Publisher:  
Mc Graw
Author:  
Bodie Z., Kane A., Marcus A.J.
ISBN  
Chapters:  
5-10, 11, 24. Also ch. 1-4 for students without knowledge of market arrangements and institutions
Notes:  
If at least 10 students request this service, Mc Graw will create a pdf for them with the required chapters only.,
Required:  
No


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Book
Title:  
Financial Decisions and Markets
Year of publication:  
2017
Publisher:  
Princeton University Press
Author:  
John Y. Campbell
ISBN  
Permalink:  
Chapters:  
2,3,4, 5.1-5.3, 9.1-9.2,10
Required:  
Yes


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Book
Title:  
Asset Pricing
Year of publication:  
2005
Publisher:  
Princeton University Press
Author:  
John Cochrane
ISBN  
Permalink:  
Chapters:  
1,2,3,4,5
Required:  
No
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The complete reading list will be distributed on Moodle.

 

 

 

 

 

 

 

 

 

 

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Notes

The new program of the course "Additional IT Training" covers intermediate material that I used to teach in this class to even out differences in students' backgrounds.

https://www.finance-insurance.unito.it/do/corsi.pl/Show?_id=qitd

Some students may however ask to take a test limited to intermediate knowledge. Chapters in Bodie Kane Markus (1-10, 11, 24) provide such intermediate background.

With this option, you will get a maximum grade of 24/30. There will be 24 multiple choice questions drawn out of the Bodie Kane Marcus textbook and 24 minutes for answering. 18 right answers will deliver 18/30, 24 right answers will deliver 24/30. You will anyway need to attend the course and pass a qualifying exam limited to the Visiting Professor part (PASS/FAIL). In case you were interested, please send me an email before April 20th. You may always revert to the full exam if you change your mind.

 

 

 

 

 
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    Enrollment opening date
    31/05/2023 at 20:00
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    18/02/2024 at 20:00
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