Academic year
2022/2023 Syllabus of previous years
Official course title
Course code
EM5021 (AF:397470 AR:215686)
On campus classes
ECTS credits
Degree level
Master's Degree Programme (DM270)
Educational sector code
3rd Term
Course year
Go to Moodle page
This is a core course of the Master in Economics and Finance, curriculum Finance. The course provides core theory of portfolio management and capital markets. Topics include functions and operations of capital markets, analysis of consumption-investment decisions of investors, portfolio theory, pricing models of risky assets, theory of efficient markets, as well as financial crisis, financial investment, alternative investments and long term investments. The course provides a theoretical foundation of finance and its applications.
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
1.3 understending of the causes of financial crises and the role of long term investors (private and pubblic)
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
Possess the basic knowledge indicated in the personal preparation requirements to enroll in the Degree in Economics and Finance, curriculum Finance:

It also requires basic knowledge of the use of Excel.
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
- Empirical Tests of Multifactor Models
- Consumption-Based Equilibrium Models

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
- Bodie, Kane and Markus (2014), Investments, McGraw-Hill
Assessment consists in a written exam of 90 minutes. The exam consists of multiple choice items plus two open questions (or exercises). 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. Alternatively, it is possible to take two partial exams and hand in two case studies. 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.
a) Teachers’ frontal lectures;
b) Case studies
See course website on Moodle.
Definitive programme.
Last update of the programme: 09/05/2022