Università degli Studi di Napoli "Parthenope"

  1. Teaching
  2. ADMINISTRATION, FINANCE AND BUSINESS CONSULTING
  3. PORTFOLIO CHOICES IN FINANCIAL MARKETS

Stampa

PORTFOLIO CHOICES IN FINANCIAL MARKETS

Teaching schedule

Academic year: 
2017/2018
Belonging course: 
Course of Master's Degree Programme on ADMINISTRATION, FINANCE AND BUSINESS CONSULTING
Location: 
Napoli
Disciplinary sector: 
ECONOMICS (SECS-P/01)
Language: 
Italian
Credits: 
6
Year of study: 
1
Teachers: 
Prof.ssa PAIELLA Monica Pia Cecilia
Cycle: 
Second semester
Hours of front activity: 
48

Language

Italian

Course description

LEARNING OBJECTIVES
The course aims at teaching the principles of finance. It covers the essentials, while leaving more specialized topics to follow-up courses. Students learn how to set up and solve portfolio optimization problems and stock and bond valuation problems using the mean-variance framework, the capital asset pricing model (CAPM), the arbitrage pricing theory (APT), and discounted cashflow methods.

EXPECTED LEARNING OUTCOMES
Knowledge and understanding:
Students learn about: a wide range of investment and risk management tools, starting from the fundamentals of portfolio diversification; the main models for choosing and evaluating financial investment portfolios; and the concepts of financial market efficiency and stability . They will also learn how to appraise the evolution of monetary, debt and equity markets within the international macroeconomic context.

Applying knowledge and understanding:
At the end of the course, the student will be able to appraise the risk-return profile of individual securities and of investment portfolios.

Making judgments:
Students learn how to evaluate investment processes and develop critical reading skills of theories and economic facts.

Communication:
Students learn how to discuss financial issues precisely and clearly both with economists and laymen.

Learning skills:
Students learn the skills needed to deepen specific topics and to acquire new competences in advanced finance courses.

Prerequisites

Standard knowledge of math (functions, differential calculus, optimization), math for finance (interest rate, time value of money, internal rate of return) and probability theory (random variables).

Syllabus

The course focuses on portfolio choice and asset valuation. It starts with the analysis of investors' behavior, both in the form of expected utility maximization and in the form of recent behavioral models. The course attention is then shifted from portfolio choice to asset pricing, and we study the efficient frontier, and asset pricing models like the CAPM and the APT. The hypothesis of market efficiency is then analyzed and tested. Last, we turn to security valuation – bond and stock pricing.

Teaching Methods

Lectures, tutorials and home assignments

Textbooks

Cuthbertson and D. Nitzsche, Economia finanziaria quantitativa, Il Mulino, Bologna.
Slides and additional reading are available on the e-learning portal

Learning assessment

Written final exam where the students are asked to solve portfolio choice problems and security valuation exercises, and also to answer multiple choice questions to assess students’ learning of theory.

More information

Students learn about: a wide range of investment and risk management tools, starting from the fundamentals of portfolio diversification; the main models for choosing and evaluating financial investment portfolios; and the concepts of financial market efficiency and stability . They will also learn how to appraise the evolution of monetary, debt and equity markets within the international macroeconomic context.