Tipo Insegnamento:
Obbligatoria
Durata (ore):
40
CFU:
6
SSD:
ECONOMIA POLITICA
Sede:
BRESCIA
Url:
ECONOMIA E AZIENDA DIGITALE/comune Anno: 3
Anno:
2024
Dati Generali
Periodo di attività
Primo Quadrimestre (01/10/2024 - 22/01/2025)
Syllabus
Obiettivi Formativi
The course aims to empower students to independently analyze financial market dynamics and construct portfolios using mean-variance optimization criteria. By course completion, students will proficiently price assets and assess the impact of specific events on financial markets.
Knowledge and Understanding:
Students will gain comprehensive theoretical and empirical understanding in the following areas:
Financial Instruments: Characteristics, uses, and trading markets of stocks, bonds, derivatives, and other investment vehicles.
Asset Price Dynamics: Factors influencing asset prices, including economic indicators, market sentiment, and global events. Exploration of models and theories explaining price movements and volatility.
Portfolio Selection: Principles of portfolio construction emphasizing diversification, risk management, and optimization techniques for achieving investment goals.
Applied Knowledge and Understanding:
Students will acquire practical skills in:
Statistical Analysis of Asset Prices: Analyzing historical price data, calculating returns, volatility, and other statistical measures to inform investment decisions.
Portfolio Construction: Using statistical evidence to construct well-diversified portfolios balancing risk and return, employing mean-variance optimization and quantitative methods.
Asset Pricing Techniques: Applying valuation methods such as discounted cash flow analysis, relative valuation, and econometric models to real-world data using statistical software.
Autonomy of Judgment:
Students will develop the ability to:
Evaluate Risk-Return Profiles: Independently assess the risk and potential returns of assets and portfolios, understanding investment trade-offs and making informed decisions.
Understand Asset Allocation Strategies: Critically analyze strategic, tactical, and factor-based asset allocation strategies used by financial institutions.
Interpret Financial News: Analyze financial news and reports critically, understanding implications for investment strategies and market dynamics.
Communication Skills:
By course completion, students will be able to:
Explain Investment Principles: Clearly communicate principles of investing under uncertainty to diverse audiences, including clients and colleagues.
Analyze Financial Data: Access financial databases, retrieve relevant data, and perform statistical analyses to support investment decisions.
Present Asset Pricing and Portfolio Construction: Effectively present methodologies and results using econometric approaches and software tools.
Ability to Learn:
The course provides a foundational understanding of financial economics, equipping students with:
Tools for Advanced Study: Essential concepts and techniques for further studies or professional development in finance, including asset management, financial engineering, and quantitative analysis.
Skills for Portfolio Selection: Innovation in developing personalized portfolio selection criteria based on empirical research and advanced financial theories.
Knowledge and Understanding:
Students will gain comprehensive theoretical and empirical understanding in the following areas:
Financial Instruments: Characteristics, uses, and trading markets of stocks, bonds, derivatives, and other investment vehicles.
Asset Price Dynamics: Factors influencing asset prices, including economic indicators, market sentiment, and global events. Exploration of models and theories explaining price movements and volatility.
Portfolio Selection: Principles of portfolio construction emphasizing diversification, risk management, and optimization techniques for achieving investment goals.
Applied Knowledge and Understanding:
Students will acquire practical skills in:
Statistical Analysis of Asset Prices: Analyzing historical price data, calculating returns, volatility, and other statistical measures to inform investment decisions.
Portfolio Construction: Using statistical evidence to construct well-diversified portfolios balancing risk and return, employing mean-variance optimization and quantitative methods.
Asset Pricing Techniques: Applying valuation methods such as discounted cash flow analysis, relative valuation, and econometric models to real-world data using statistical software.
Autonomy of Judgment:
Students will develop the ability to:
Evaluate Risk-Return Profiles: Independently assess the risk and potential returns of assets and portfolios, understanding investment trade-offs and making informed decisions.
Understand Asset Allocation Strategies: Critically analyze strategic, tactical, and factor-based asset allocation strategies used by financial institutions.
Interpret Financial News: Analyze financial news and reports critically, understanding implications for investment strategies and market dynamics.
Communication Skills:
By course completion, students will be able to:
Explain Investment Principles: Clearly communicate principles of investing under uncertainty to diverse audiences, including clients and colleagues.
Analyze Financial Data: Access financial databases, retrieve relevant data, and perform statistical analyses to support investment decisions.
Present Asset Pricing and Portfolio Construction: Effectively present methodologies and results using econometric approaches and software tools.
Ability to Learn:
The course provides a foundational understanding of financial economics, equipping students with:
Tools for Advanced Study: Essential concepts and techniques for further studies or professional development in finance, including asset management, financial engineering, and quantitative analysis.
Skills for Portfolio Selection: Innovation in developing personalized portfolio selection criteria based on empirical research and advanced financial theories.
Prerequisiti
Mathemathics (linear algebra), Statistics, Micro and Macro
Metodi didattici
Standard frontal teaching methods.
Verifica Apprendimento
A unique final oral exam, comprising two to three questions. These questions will encompass theoretical concepts, combinations of theory and practice, as well as practical empirical applications (in Excel, Gretl or Matlab).
Testi
Lecture notes -- provided by the instructor -- on "Essentials of Financial Economics: A Hands-On Approach"
Covered Chapters: 1, 2, 3, 4, 8
Covered Chapters: 1, 2, 3, 4, 8
Contenuti
Throughout the course, we will explore several key topics that are fundamental to understanding finance and investment strategies. These topics include:
Choices Under Uncertainty: We will examine how individuals and organizations make decisions when outcomes are uncertain. This includes the study of risk assessment, probability theory, and the various models used to predict and manage uncertainty in financial decision-making.
Optimal Allocation of Resources: This topic focuses on how to efficiently distribute resources to maximize returns or minimize costs. We will discuss concepts such as utility maximization, cost-benefit analysis, and the principles of marginal analysis in the context of resource allocation.
Portfolio Selection: Here, we delve into the strategies for constructing a portfolio of assets that balances risk and return. Topics will include modern portfolio theory, the efficient frontier, diversification strategies, and asset allocation techniques.
Empirical Asset Pricing: This section covers the empirical methods used to evaluate and predict the pricing of financial assets. We will study models such as the Capital Asset Pricing Model (CAPM), the Fama-French three-factor model, and other advanced pricing theories, along with their applications and limitations.
Behavioral Finance (Sentiment Analysis): In this part of the course, we will explore how psychological factors and biases influence financial markets and decision-making. Special attention will be given to sentiment analysis, which involves assessing investor sentiment and its impact on market trends and asset prices.
Choices Under Uncertainty: We will examine how individuals and organizations make decisions when outcomes are uncertain. This includes the study of risk assessment, probability theory, and the various models used to predict and manage uncertainty in financial decision-making.
Optimal Allocation of Resources: This topic focuses on how to efficiently distribute resources to maximize returns or minimize costs. We will discuss concepts such as utility maximization, cost-benefit analysis, and the principles of marginal analysis in the context of resource allocation.
Portfolio Selection: Here, we delve into the strategies for constructing a portfolio of assets that balances risk and return. Topics will include modern portfolio theory, the efficient frontier, diversification strategies, and asset allocation techniques.
Empirical Asset Pricing: This section covers the empirical methods used to evaluate and predict the pricing of financial assets. We will study models such as the Capital Asset Pricing Model (CAPM), the Fama-French three-factor model, and other advanced pricing theories, along with their applications and limitations.
Behavioral Finance (Sentiment Analysis): In this part of the course, we will explore how psychological factors and biases influence financial markets and decision-making. Special attention will be given to sentiment analysis, which involves assessing investor sentiment and its impact on market trends and asset prices.
Lingua Insegnamento
English
Altre informazioni
While attending classes is not mandatory, it is strongly encouraged. A laptop is essential for participation, as the curriculum includes data analysis sessions. The exam will be identical for both attending and non-attending students, ensuring fairness. Non-attending students must actively acquire practical skills and knowledge. Specifically, they should ensure they can replicate empirical applications conducted during classes.
Corsi
Corsi
ECONOMIA E AZIENDA DIGITALE
Laurea
3 anni
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