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APPLIED PORTFOLIO MANAGEMENT

Degree course: 
Corso di Second cycle degree in ECONOMICS, FINANCE AND BUSINESS LAW
Academic year when starting the degree: 
2018/2019
Year: 
2
Academic year in which the course will be held: 
2019/2020
Course type: 
Optional subjects
Language: 
Italian
Credits: 
3
Period: 
Third Trimestre
Standard lectures hours: 
20
Detail of lecture’s hours: 
Lesson (20 hours)
Requirements: 

No preliminary requirements are requested.

Final Examination: 
Orale

Oral test to verify theoretical knowledge. Students are required to discuss case studies to test their computational competences and analysis skills.

Assessment: 
Voto Finale

The course aims at providing the methodological knowledge and technical skills necessary to portfolio management, valuation of performance and risk of an investment strategy, measurment and monitoring the (ex-ante and ex-post) risk exposure of a portfolio.
At the end of the course, students are required to be able
- to solve portfolio allocation problems
- to compute performance, risk and risk adjusted performance indicators
- to make performance attribution
- to measure implied prospective risk of an investment portfolio and split it into risk components/risk factors.

1. Portfolio management
a. Goals and constraints
b. Money Weighted and Time Weighted return
2. Key Risk Indicators:
a. Volatility, VaR,TEV, Beta coefficient
b. Risk adjusted Perofmance IShrpe Ratio, Sortino ratio)
3. Portfolio selection problems
4. Capital Asset Pricing Model and Alfa-portfolios
5. Performance Attribution
Each one of the previous topics will be dealt with in one lesson.

Slides provided by the Teacher and made available on the e-learning website of the Course.

Convenzionale

Frontal theoretical lessons and exercises. Discussion of case studies.

Professors

REDAELLI GIOVANNA LUISA MARIA

Borrowers