modern portofolio theory

DIPARTIMENTO di ECONOMIA - DIEC
Scuola di Scienze Sociali
SCUOLA DI
SCI ENZE SOCI ALI
Modern Portfolio Theory - 41605
(Corso di laurea/laurea magistrale in Economia e Istituzioni finanziarie) - A.A. 2016/17
Docente
Cognome e nome RESTA Marina
e-mail:
[email protected]
Anno di corso: I
Sem: I
Sede: Genova
SSD: 13-D4
cfu 6
Ore lezione: 48
Obiettivi formativi
An introduction to mathematical methods focusing on portfolio optimization. Starting from the model of asset
allocation of Markowitz, the student will be introduced to classical portfolio theory, to move to allocation
methods based on Value at Risk, Expected Shortfall, as well as to techniques relying on bootstrap.
Programma/Contenuti
Part I: Portfolio selection à la Markowitz
Returns calculation. Stylized facts: lack of correlation; Quadratic Positive Correlation; Absence of Normality.
Mean-Variance Model: the case of two assets and the general case. Graphical analysis,. Implications. The
separation theorem and its financial interpretation. Efficient portfolios by way of matrix algebra. The efficient
frontier. The model with a risk-free asset. An outline on CAPM and market line.
Part II: Risk Measures.
A quantile-based approach. Coherent risk measures. Value-at-Risk: definition and statistical implications.
Expected Shortfall: definition and statistical implications. Some tests on VaR.
Part III: Advanced Asset Allocation.
Outline of bootstrap techniques. The resampling approach by Michaud. The Black-Litterman model. Meanvariance-skewness models of asset allocation. Portfolio optimization based on risk measures.
Eventuali propedeuticità e/o pre requisiti consigliati
Risultati di apprendimento previsti



Knowledge and understanding. Students must acquire adequate knowledge and understanding of
effective asset allocation tools.
Applying knowledge and understanding. Students should be able to apply their knowledge to solv
problems of optimal allocation in the presence of risk.
Independent judgment capabilities. The students should know how to use the learned skills both
DIPARTIMENTO di ECONOMIA - DIEC
Scuola di Scienze Sociali
SCUOLA DI
SCI ENZE SOCI ALI


at the conceptual and at the operational level in different application contexts.
Communication skills. Students should acquire the technical language of the discipline to keep in
touch, both clearly and unambiguously, with specialists.
Learning skills. Students must develop proper learning skills to to independently investigate major
issues of the field, withinh their operative working framework.
Modalità didattiche, obblighi, testi e modalità di accertamento.
Modalità didattiche Lessons held by the referee teacher as well as cases study. The course will utilize R
data analysis and statistical modeling.
Presente su Yes X No ☐
Aulaweb
Obblighi
Testi di studio The classes material will be set in the classroom at the beginning of the lessons, as
well as published on Aulaweb.
Modalità di Esame X scritto ☐ orale ☐ altro: The students will present and discuss a report
accertamento according to the indications provided by the teacher during the lessons.
Ripetizione Three times in the first session. It is mandatory to sign for the examination through the
dell’esame web portal.
Informazioni aggiuntive per gli studenti non frequentanti
Modalità didattiche The course will utilize R data analysis and statistical modeling.
Obblighi
Testi di studio The classes material will be set in the classroom at the beginning of the lessons, as
well as published on Aulaweb.
Modalità di Esame X scritto ☐ orale ☐ altro: The students will present and discuss a report
accertamento according to the indications provided by the teacher during the lessons.
Ripetizione Three times in the first session. It is mandatory to sign for the examination through the
dell’esame web portal.
For foreign students
Course description An introduction to mathematical methods focusing on portfolio optimization. Starting
from the model of asset allocation of Markowitz, the student will be introduced to
classical portfolio theory, to move to allocation methods based on Value at Risk,
Expected Shortfall, as well as to techniques relying on bootstrap.
Methodology Lessons held by the referee teacher as well as cases study.
Attendance Not mandatory.
Textbook and Books and classes material will be available on Aulaweb.
other
reccomended
resources
Assessment Written examination plus a report, according to what stated during the lessons by the
teacher
Note
DIPARTIMENTO di ECONOMIA - DIEC
Scuola di Scienze Sociali
SCUOLA DI
SCI ENZE SOCI ALI
All the students are invited to stay tuned on the Aulaweb site for the course (http://www.aulaweb.unige.it/).
As a matter of fact all the information and material for the course are only available on that site..