Learning objectives
At the end of the course, the student will be able to judge the efficiency of a given market model, to understand the representation of the preferences of a rational decision-maker and to calculate the capital market line and the market portfolio knowing returns and (co)variances of the traded assets.
Prerequisites
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Course unit content
The course aims at giving the basic tools to evaluating and managing financial assets. After reviewing the main concepts of Probability, the following topics will be covered:
- the 'State Preference Model', a simple financial market model, used to introduce the concepts of a derivative asset and of arbitrage pricing;
- an introduction to Expected Utility Theory;
- Markowitz porftolio selection method;
- some highlights to model based on hidden variables (esp. CAPM)
Full programme
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Bibliography
E. Castagnoli, Brevissimo Abbecedario di Matematica Finanziaria, available online or at the Faculty Copy Center;
E. Castagnoli, M. Cigola, L. Peccati, Probability. A Brief Introduction, 2° edizione, Egea, 2009;
G. Favero, Contare oltre le dita. Elementi di calcolo combinatorio, available online or at the Faculty Copy Center.
Teaching methods
Front teaching
Assessment methods and criteria
Written examination
Other information
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