Portale di Ateneo - En.Unibs.it

***** Portfolio Choices *****

**** ALL INFORMATIONS CAN BE FOUND @ https://sites.google.com/site/carminetrecroci/ ****

**** Description ****
This course provides students with the basic tools required to deal with and solve the key applications of portfolio theory with the use of spreadsheets. In detail, the classes briefly sum up the main ingredients of financial models, then the numerical solution and/or simulation of problems is developed.

The course covers standard financial models in various areas of asset management, particularly in those of equity portfolio management, fixed income and risk management.

**** Contents ****

1. Introduction to financial applications with spreadsheets
2. Introduction to portfolio models
3. Efficient portfolios with short sales allowed
4. Variance-covariance matrices
5. The estimation of betas and of the Security Market Line
6. Efficient portfolios without short sales
7. The Black-Litterman approach
8. Value at Risk
9. The lognormal distribution
10. Duration
11. Immunization strategies
12. The term structure of interest rates
13. Bond yields adjusted for insolvency risk

**** Compulsory requirements ****
For a full understanding of this course's contents, it is crucial to be familiar with the basic (first-year level) concepts of economics of financial markets, mathematics, statistics.

**** Objectives ****
The course introduces the basic tools for understanding and solving the main applications of portfolio management with the use of spreadsheets.

**** Testi di riferimento ****
The lectures will be based on several sections of the following book:

*** Benninga, S. (2010). Modelli finanziari. La finanza con Excel, 2a ed.. McGraw-Hill Italia, ISBN 9788838666377 ***
*** Benninga, S. (2014). Financial Modeling: With a Section on Visual Basics for Applications, 4th Ed. MIT Press.

Students are warmly invited to read alternative or complementary texbooks and more technical materials. The lecturer will provide s list of such reading materials upon request.

**** Study method ****
It is strongly advised to spread the study effort evenly along the course term and to attend all classes.

**** Evaluation ****
The exam will consist in a financial problem to be solved with the help of a spreadsheet. There are no interim examinations, nor oral ones.

**** Services in English language ****
Students can attend the final exam and the office hours in English upon their request.