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Docente
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D'ADDONA STEFANO
(programma)
SECTION I
EXPECTED UTILITY AND RISK AVERSION (PENNACCHI CH. 1)
PREFERENCES WITH UNCERTAINTY
RISK AVERSION AND RISK PREMIA
PORTFOLIO CHOICE
MEAN VARIANCE ANALYSIS (PENNACCHI CH. 2, COCHRANE CH 5, 6)
ASSET RETURNS AND RISK-RETURN TRADE-OFF
THE EFFICIENT FRONTIER
PORTFOLIO DIVERSIFICATION
CAPITAL MARKETS’ EQUILIBRIUM (PENNACCHI CH. 3; COCHRANE CH 9, 20)
THE CAPITAL ASSET PRICING MODEL
ARBITRAGE PRICING THEORY
FACTOR MODELS
EMPIRICAL EVIDENCE
SECTION II
MACROECONOMICS AND FINANCE (PENNACCHI CH 4; COCHRANE CH. 1, 2, 4, 21)
THE CONSUMPTION BASED ASSET PRICING MODEL
EMPIRICAL EVIDENCE AND CLASSICAL PUZZLES IN MACRO-FINANCE
ADDITIONAL TOPICS IN ASSET PRICING
BOND MARKETS AND THE TERM STRUCTURE OF INTEREST RATES (COCHRANE CH. 19)
BOND MARKETS
PRINCIPLES OF BOND VALUATION
TERM STRUCTURE OF INTEREST RATES
SINGLE AND MULTI FACTOR AFFINE MODELS
(testi)
J.H. COCHRANE “ASSET PRICING” PRINCETON UNIVERSITY PRESS 2005
G. PENNACCHI “THEORY OF ASSET PRICING” PEARSON ADDISON WESLEY, 2008.
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Università Roma Tre