Academic year
2018/2019 Syllabus of previous years
Official course title
Course code
EM5002 (AF:278925 AR:159894)
On campus classes
ECTS credits
Degree level
Master's Degree Programme (DM270)
Educational sector code
4th Term
Course year
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This is the first part of a compulsory 12-ECTS course. This is one of the main courses that characterize the Master's Degree in Economics and Finance, curriculum Economics and Finance. The 12-ECTS course on the whole has common objectives, learning outcomes, contents and teaching methods that are described as follows.
The course aims to provide financial and economic skills related to the economy of markets and financial investments. Particular attention is paid to the functioning of the financial markets, to the theory of the portfolio and to the formation of the prices of the basic financial instruments and to the management of financial investments. The course is divided into two parts.
In the first part of this course taught in the third period (which accounts for the first 6-ECTSs), the course focuses on portfolio theory and on the formation of the prices of financial instruments. The second part taught in the fourth period (which accounts for the second 6-ECTSs) focuses on investment management, performance measures and innovative finance. The discussion of the various topics will be addressed to the understanding of the mechanisms that lead to the determination of the general equilibrium in the financial markets and to the application problems in the choice of financial investments. Particular attention will be given to the use of finance theory for the resolution of operational problems. For this reason during the course will be discussed simple case studies in order to apply the acquired knowledge.
The instructional goal of the 12-ECTS course is acquiring the knowledge and competences to understand, manage and evaluate the issues and the quantitative models related to financial markets and valuation of financial assets and portfolio management.
In detail:
1. Knowledge and understanding
1.1 - understanding of economic / financial phenomena concerning financial markets and investment choices with particular attention to portfolio management;
1.2 - Understanding of the mechanisms of price formation and of the returns of the shares starting from the theory of the portfolio through the classical pricing models such as the Capital Asset Pricing Model and the Arbitrage Pricing Theory;

2. Ability to apply knowledge and understanding
2.1 Identify the sources of information necessary to support investment choices.
2.2 Use and analyze financial databases such as Bloomberg to acquire time series of financial asset prices and then determine the yield, volatility and expected correlation.
2.3 Use Excel or other programming languages such as R, Stata, Gretel or Matlab to determine the efficient border.
2.4 Use Excel or other programming languages such as R, Stata or Matlab to estimate the beta of shares or equity portfolios

3. Ability to make judgements:
3.1 to interpret the functioning of financial markets in the light of investment choices and macroeconomic variables
3.2 to recognize the implications that portfolio choices have on price formation
3.3 To identify and evaluate risk factors and on potential or presumed arbitrage opportunities.
Students should be familiar with basic concepts of Microeconomics, Macroeconomics, statistics and Math (including financial mathematics).
First Part
- Introduction: Types of Equity Securities and Their Characteristics/Equity Markets: Characteristics and Institutions
- Equity Market Valuation and Return Analysis
- Standard portfolio selection problem and mean-variance approach
- Equity Portfolio Benchmarks
- Single Index Model and the Capital Asset Pricing Model (CAPM).
- CAPM empirical evidence and pitfalls
- The Arbitrage Pricing Theory (APT)
- Market efficiency, bubbles and financial crisis, Behavioural finance

Second Part
- The Investment Policy Statement
- Investment Manager Selection
- Economic Analysis and Setting Capital Market Expectations
- Asset Allocation
- Portfolio Construction and Revision
- Risk Management
- Execution of Portfolio Decision (Trading)
- Performance Evaluation
- Presentation of Performance Results
- Style analysis
- Investment Manager Selection
- Types of Alternative Investments and Their Characteristics
- Hedge Fund Strategies
- Alternative Investment Management Strategies
- ETF and Structured Products
- Fintech: crowdfunding, P2P lending and cryptofinance
- Notes of the lecturer.

The student could choose between:
a- Bodie, Kane and Markus (2014), Investmentes, McGraw-Hill
b- Elton Gruber Brown e Goetzmann, Teoria di portafoglio e analisi degli investimenti, APOGEO, 2007,

Assessment consists in a written exam of 90 minutes. The exam consists of about 10 multiple choice items plus two exercises and/or open-ended questions. The two questions or exercises could be substituted by two case studies. The multiple choice items assess students’ knowledge and understanding of the topics included in the program. The two questions aims to investigate students’ ability to apply the theoretical framework to real cases. In order to pass the exam, the final mark should be at least 18/30. The use of books, notes and electronic devices (with the only exception of a calculator) is not allowed during the examination. Oral exams are not possible.
The course mainly follows a conventional teaching approach combined with some case studies. The conventional approach essentially aims to provide students with the tools to analyze and apply the acquired knowledge and skills. The case studies aim to introduce the student to the the use of some databases, analyzing and applying the acquired knowledge and verifying the degree of judgment acquired.
Course website on Moodle

This subject deals with topics related to the macro-area "Human capital, health, education" and contributes to the achievement of one or more goals of U. N. Agenda for Sustainable Development

Definitive programme.
Last update of the programme: 04/02/2019