| DERIVATIVES AND PORTFOLIO THEORY
(objectives)
In line with the educational objectives of the Degree in Economia e Gestione Aziendale (CLEGA), the course has the objective of providing basic foundations for portfolio selection, real estate investments, and derivative contracts valuation.
At the end of the course students will have developed a solid knowledge of models and methods for portfolio selection, for the evaluation of real estate investments, for the evaluation of derivatives.
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Code
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21201499 |
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Language
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ITA |
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Type of certificate
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Profit certificate
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Credits
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9
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Scientific Disciplinary Sector Code
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SECS-S/06
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Contact Hours
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60
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Type of Activity
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Related or supplementary learning activities
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Teacher
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GHENO ANDREA
(syllabus)
PART I:
BOND PORTFOLIO
Theory of bond portfolios. Bond market structure. Semi-deterministic theories of immunization.
STOCK PORTFOLIO
Financial decision theory in conditions of uncertainty. The logic of choosing between risky alternatives. The theory of expected utility. Insurance contracts and utility theory.
The mean-variance analysis. The market and portfolio choices. The second-order characteristics of the portfolio. Average-variance optimization. The determination of averages and covariance. Diversification and risk measures.
The Capital Asset Pricing Model. General considerations on expectations and risk in efficient markets. CAPM as a model of balance. Measurement and estimation issues. Extensions and applications.
REAL ESTATE INVESTMENT
Real estate investments. Characteristics of the real estate market. Selection and management of real estate portfolios.
PART II:
DERIVATIVES
Forward contracts. Forward contracts and markets. The arbitrage relationship between spot and forward prices. Spot exchange and forward exchange.
Futures contracts. Features. Daily readjustment mechanism. Futures and spot prices. Hedging and speculation with futures contracts. Futures on stock indices and on bonds.
Financial options. The logic of the options. Call and put options. European and American options. Arbitrage restrictions for the option price. The binomial model. The risk-neutral evaluation. The evaluation of American options. More general options.
(reference books)
Luenberger, D., Investment Science, OUP, 2013
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Dates of beginning and end of teaching activities
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From 01/03/2023 to 31/05/2023 |
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Delivery mode
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Traditional
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Attendance
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not mandatory
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Evaluation methods
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Written test
Oral exam
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Teacher
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GHENO ANDREA
(syllabus)
PART I:
BOND PORTFOLIO
Theory of bond portfolios. Bond market structure. Semi-deterministic theories of immunization.
STOCK PORTFOLIO
Financial decision theory in conditions of uncertainty. The logic of choosing between risky alternatives. The theory of expected utility. Insurance contracts and utility theory.
The mean-variance analysis. The market and portfolio choices. The second-order characteristics of the portfolio. Average-variance optimization. The determination of averages and covariance. Diversification and risk measures.
The Capital Asset Pricing Model. General considerations on expectations and risk in efficient markets. CAPM as a model of balance. Measurement and estimation issues. Extensions and applications.
REAL ESTATE INVESTMENT
Real estate investments. Characteristics of the real estate market. Selection and management of real estate portfolios.
PART II:
DERIVATIVES
Forward contracts. Forward contracts and markets. The arbitrage relationship between spot and forward prices. Spot exchange and forward exchange.
Futures contracts. Features. Daily readjustment mechanism. Futures and spot prices. Hedging and speculation with futures contracts. Futures on stock indices and on bonds.
Financial options. The logic of the options. Call and put options. European and American options. Arbitrage restrictions for the option price. The binomial model. The risk-neutral evaluation. The evaluation of American options. More general options.
(reference books)
Luenberger, D., Investment Science, OUP, 2013
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Dates of beginning and end of teaching activities
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From 01/03/2023 to 31/05/2023 |
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Delivery mode
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Traditional
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Attendance
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not mandatory
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Evaluation methods
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Written test
Oral exam
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Teacher
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MARTIRE ANTONIO LUCIANO
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Dates of beginning and end of teaching activities
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From 01/03/2023 to 31/05/2023 |
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Attendance
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not mandatory
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Università Roma Tre