FOUNDATIONS

The course provides students
with an analysis of the theoretical and applied aspects of the management of
securities portfolios. In particular, through the study of the Markowitz Theory
it is possible to evaluate, under a risk-return perspective, the peculiar properties
of a portfolio with respect to the securities that compose it. It also provides
an analysis of the capital market through the classic CAPM model. By changing
some assumptions it is possible to build more realistic market equilibrium
models.

In order to provide a wide
horizon of analysis, the course deals with the study of utility and stochastic
dominance. Finally, as an appropriate conclusion, the student is introduced to
the evaluation of alternative portfolios by using suitable performance indices.

CASES AND APPLICATIONS

The course introduces students
to the software Excel and teaches how to make a systematic use of the
available tools in Excel for managing data and performing quantitative analyses.
Particular attention is paid to applications to portfolio selection problems. 

Students acquire the capacity
of using Excel to apply the theoretical models for portfolio selection, such as
the empirical construction of the risk-return efficient frontier based on the Markovitz
model. With the practical application of these tools, students develop a deep
knowledge of the theoretical properties and of the technical characteristics of
quantitative models for portfolio selection. At the same time, they reach solid
competences in the use of the software Excel.

The course is issued in English.