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ASSET PRICING AND PORTFOLIO CHOICE
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ASSET PRICING AND PORTFOLIO CHOICE
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Academic year 2020/2021
- Course ID
- ECO0262
- Teaching staff
- Roberto Marfe' (Lecturer)
Raffaele Corvino (Lecturer)
Milo Bianchi (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 - economia politica
- Delivery
- Formal authority
- Language
- English
- Attendance
- Obligatory
- Type of examination
- Written
- Prerequisites
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Fundamentals of calculus, statistics, econometrics, finance are prerequisites.Essential background material is found in the following textbook:
Bodie Z., Kane A., Marcus A.J., Investments, chapters 1-11,13,24, 10th edition (or later) - Propedeutic for
- Advanced Asset Pricing (2 year, 6 CFU)
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Sommario del corso
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Course objectives
This course focuses on asset pricing and quantitative investment management methods.- Oggetto:
Results of learning outcomes
Students should understand (i) the main methods and topics in asset pricing, (ii) how prices are determined in equilibrium, and (iii) how investors take financial decisions and set portfolio selection.- Oggetto:
Course delivery
The course is based on both formal lectures and at least as many hours of at‐home reading and solving exercises. Students may be invited to attend finance research seminars and conferences at Collegio Carlo Alberto.You are strongly advised to read in the Fall the intermediate-level textbook by Bodie Kane Marcus.
IMPORTANT NOTICE: LECTURES WILL BE ONLINE FOR AT LEAST THE FIRST THREE WEEKS. WEBEX LINKS WILL BE PROVIDED ON THE MOODLE. FURTHER CHANGES WILL BE COMMUNICATED.
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Learning assessment methods
The exam consists of two intermediate tests and a final exam, to be taken on the first exam date at the end of the course.
Each test is written, lasts 1.5 hours, and concerns both theory and exercises. Tests account for 26/30.
The final exam is written, lasts one hour, and concerns both theory and exercises. The final exam accounts for 7/30.Students that do not make at least 14 points with the two intermediate tests should make a full written exam (30/30, 2 hours).
The exam procedure could change depending on the evolution of the Covid-19 emergency.- Oggetto:
Support activities
Lecture notes and/or other materials will distributed through the Moodle forum.
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Program
First Part: Investments and Asset Pricing
- stylized facts, risk and return, capm and apt, basics of portfolio choice, stochastic discount factor, consumption-capm
Second Part: Portfolio Choice and Applications
- portfolio selection, efficient frontier, utility and optimal portfolio, diversification, capm and estimation
Third Part: Behavioral Finance
- prospect theory, ambiguity aversion, time inconsistency, overconfidence, limited attention
Suggested readings and bibliography
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- The complete reading list wil be available on Moodle. It will comprise both book chapters and scientific papers.
Bodie Kane and Marcus ch. 1-11, 13, 24
Cochrane J., Asset Pricing, Princeton University Press, 1999, Ch.1,2, 4.1,4.2,4.3, 5.1, 5.2,5.3
Campbell J.Y. Financial Decisions and Markets, Princeton University Press, 2018
Some research papers could be considered during the lectures.
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Class schedule
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Note
REGISTER ONLINE by the FIRST lecture of the course, on Moodle, adding a picture of yourself. Ensure you select the academic year 2020-2021.
IMPORTANT NOTICE: LECTURES WILL BE ONLINE FOR AT LEAST THE FIRST THREE WEEKS. WEBEX LINKS WILL BE PROVIDED ON THE MOODLE. FURTHER CHANGES WILL BE COMMUNICATED.
The methods of teaching and examination activity could change according to the limitations imposed by the current health crisis. In any case, the e-learning mode is guaranteed throughout the academic year.- Oggetto:
