FINANCIAL ECONOMICS

Anno accademico 2016/2017 Programmi anni precedenti
Titolo corso in inglese FINANCIAL ECONOMICS
Codice insegnamento EM2065 (AF:217273 AR:100780)
Modalità In presenza
Crediti formativi universitari 6
Livello laurea Laurea magistrale (DM270)
Settore scientifico disciplinare SECS-S/06
Periodo 3° Periodo
Anno corso 2
Sede VENEZIA
Obiettivi Formativi
The objective of the course consists in introducing theoretical and computational methods for static and dynamic portfolio optimization problems and to teach the fundamentals of asset pricing introducing students to the world of financial economics where theories most of the time are working but many puzzles are still unsolved.
Prerequisiti
You are expected to be comfortable with basic undergraduate course on linear algebra, linear and nonlinear optimization, probability theory and on theory of finance. Some knowledge on consumption based and general equilibrium models may help. You are expected to read a lot on your own and come to class prepared.
Contenuti
1. Classical approaches proposed in literature to static and dynamic portfolio optimization problems with issues addressed by recent research contributions in the field.
2. Tools to analyze and solve a variety of investment problems both with respect to the objective functions and with respect to the considered constraints.
3. Mathematical techniques for the solution of the resulting optimization problems.
4. Asset pricing.
Testi di riferimento
Chapters of books and research papers will be used. Books covering some of the topics in the course are listed below. Others references will be made available during the course.

1) E.J. Elton and M.J. Gruber (1995), Modern Portfolio Theory and Investment Analysis, John Wiley & Sons.
2) J.E. Ingersoll jr. (1987), Theory of Financial Decision Making, Rowman & Littlefiel Publishers.
3) G.P. Szego (1980), Portfolio Theory with Application to Bank Asset Management, Academic Press.
Modalità di esame
scritto
Modalità di verifica dell'apprendimento
The examination includes a homework and a test consisting of two parts.
Metodi didattici
Standard.
Lingua di insegnamento
Inglese
Altro
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Sostenibilità
  • Insegnamento sostenibile
  • CFU sostenibili: 2
  • Dispense e materiali di approfondimento e di autovalutazione disponibili online; testi di riferimento in formato e-book
  • Piattaforme e-learning, moodle