Portale di Ateneo - En.Unibs.it

I module: Prof. Pierpaolo Ferrari

1. Mapping of managed investments
1.1 Mutual funds
1.2 Segregated accounts
1.3 Index and unit-linked policies
1.4 Other products

2. Benchmarks
2.1 Choice of components
2.2 Weighting schemes
2.3 Aims and use

3. Asset management: phases
3.1 Strategic asset allocation
3.2 Tactical asset allocation
3.3 Security selection

4. Strategic asset allocation
4.1 Shortcomings of efficient portfolios selection in the mean-variance framework
4.2 Estimation error
4.3 Constrained optimization
4.4 Resampling

5. Performance evaluation
5.1 Money weighted and time weighted rates of return
5.2 Risk measures
5.3 Risk adjusted performance measures
5.4 Return based style analysis

II module: Prof. Ignazio Basile (professor in charge of the course)

1. The role of institutional investors in the Italian financial system
1.1. Institutional framework
1.2. SGR and SICAV, pension funds, insurance companies, private wealth managers
1.3. Development of intermediation by institutional investors: an international comparison

2. Traditional institutional portfolio management techniques
2.1. Benchmarks and passive management strategies
2.2. Benchmarks and active management strategies
2.3. Total return strategies
2.4. Capital guaranteed and capital protected products

3. Portoflio diversification through alternative asset classes
3.1. Hedge funds and funds of hedge funds
3.2. Private equity
3.3. Real estate finance
3.4. Commodities
3.5. Currency overlay techniques
3.6. Structured products

4. Policies of risk control
4.1 Risk measurment: instruments
4.2 Ex-ante risk limits
4.3 Ex-post risk evaluation
4.4 Performance attribution techniques