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.