Study-unit PORTFOLIO MATHEMATICS THEORY

Course name Business administration
Study-unit Code 20016006
Location PERUGIA
Curriculum Economia dei mercati e degli intermediari finanziari
Lecturer Marco Nicolosi
Lecturers
  • Marco Nicolosi
Hours
  • 42 ore - Marco Nicolosi
CFU 6
Course Regulation Coorte 2018
Supplied 2020/21
Supplied other course regulation
Learning activities Affine/integrativa
Area Attività formative affini o integrative
Sector 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 The exam consists of a written test and an oral test (which is optional). The written exam consists in 3 or 4 exercises and in 1 or 2 questions on the theory. It lasts for 1,5 hours. The written exam has the aim to test the competence acquired during the class. The oral exam is optional, and consists of two questions on the whole program that are valued +/-2 points each. The final score is the sum of the score to the written exam and to the oral exam. The oral exam has the aim to test also the student communication skills.
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.