Unit PORTFOLIO MATHEMATICS THEORY
- Course
- Business administration
- Study-unit Code
- 20016006
- Location
- PERUGIA
- Curriculum
- Economia dei mercati e degli intermediari finanziari
- Teacher
- Marco Nicolosi
- Teachers
-
- Marco Nicolosi
- Marco Nicolosi
- Hours
- 21 ore - Marco Nicolosi
- 21 ore - Marco Nicolosi
- CFU
- 6
- Course Regulation
- Coorte 2020
- Offered
- 2022/23
- Learning activities
- Affine/integrativa
- Area
- Attività formative affini o integrative
- Academic discipline
- SECS-S/06
- Type of study-unit
- Obbligatorio (Required)
- Type of learning activities
- Attività formativa monodisciplinare
- Language of instruction
- Italian
- Contents
- Mean-variance portfolio analysis. Risk diversification.
The Capital Asset Pricing Model (CAPM).
The Cox, Ross e Rubinstein model: The one step scheme. - Reference texts
- 1) Portfolio analysis and CAPM
"Manuale di Finanza II", G. Castellani, M. De Felice, F. Moriconi
2) the binomial model
"Manuale di Finanza III", G. Castellani, M. De Felice, F. Moriconi, only chapter 4 - Educational objectives
- The main objective of the course is to provide the students with some analytical instruments that are necessary For the risk-return portfolio analysis.
The knowledge acquired are:
- The Markowitz mean-variance model
- The CAPM
- The one-period CRR model
The main competence will be:
- To analyze and optmize the investment choices
- To analyze the risk of a financial asset or of a portfolio of assets
- To evaluate an european option within the framework of the one period binomial model. - Prerequisites
- In order to be able to understand and apply the majority of the techniques described within the course, you must have successfully passed the following exams:
- matematica generale
- matematica finanziaria
- statistica - Teaching methods
- face-to-face and practical training
- Other information
- For further details contact the professor to the email address: marco.nicolosi@unipg.it
- Learning verification modality
- Written test. The exam consists in solving some exercises and in answering some questions on the theory. The esam has the aim to test the competence acquired during the class.
- Extended program
- 1) Portfolio analysis
Portfolio choices. Expected returns, and covariance matrix. Mean-variance optimization. Diversification and risk measures. Subadditivity. The limits of the mean-variance model. Estimation error.
2) Capital Asset Pricing Model (CAPM)
The CAPM as an equilibrium model. The CAPM as a factorial model. The meaning of beta. The risk premium. Systematic and idiosyncratic risk. Other factorial models: Fama-French and Carhart.
3) Derivative securities: Futures and options. Put-call parity. Embedded options. The Cox, Ross e Rubinstein model: the one-step scheme. The evaluation of an european option.