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Asset Pricing and Portfolio Choice

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Asset Pricing and Portfolio Choice

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Anno accademico 2023/2024

Codice attività didattica
INT0745
Corso di studio
Laurea Magistrale Interateneo in Fisica dei sistemi complessi
Periodo
Secondo Semestre
Tipologia
C=Affine o integrativo
Crediti/Valenza
9
SSD attività didattica
SECS-P/01 - economia politica
Erogazione
Tradizionale
Lingua
Italiano
Prerequisiti
Propedeutico a
Mutuato da
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Sommario insegnamento

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Obiettivi formativi

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Risultati dell'apprendimento attesi

Students will be able to answer the following questions:
- How should investors diversify?
- How can a worker smooth consumption during working years and retirement, given income risk?
- Should a worker reduce investment into stocks as retirement approaches?
- Which is the optimal asset allocation for a pension fund?
- Is it possible to predict future asset returns? Are asset returns more easily predictable over a day, a month, a year, a decade? If markets are efficient, how can returns be predictable?
- How do simple portfolio strategies perform relative to optimal ones? How large are gains from market timing? And from enlarging the asset menu to alternatives?
- Should institutional investors with long horizons hold more stocks? How large are gains from long-horizon investing?

 

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Programma


This course teaches advanced investment management techniques and asset pricing models.
Models of portfolio choice explicitly account for investors' horizons, that can be long as in the case of insurance companies, foundations and sovereign funds, or short such as that of mutual funds. They also exploit return predictability, for both market timing and strategic asset allocation purposes. Last but not least, we discuss investment management for pension purposes.
In the second part, the course deals with the general theory of asset pricing under complete markets. It also presents examples of portfolio strategies based on the cross-section of returns.
The final lectures illustrate portfolio strategies implemented by an asset management company.
The main topics are:
1. Risk diversification
2. Life Cycle Saving and Investing
3. Return Predictability: Stylized Facts
4. Optimal Portfolio Choice, Parameter Uncertainty and Equally Weighted Strategies
5. Alternatives and non-normal returns
6. Long-term asset allocation
7. Pricing assets with the stochastic discount factor

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Modalità di verifica dell'apprendimento

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Attività di supporto

Testi consigliati e bibliografia

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We take for granted basic knowledge of econometrics, microeconomics and investments.
A reading list together with lecture notes will be available on klips at the start of the semester. Some chapters of these textbooks will be useful for reference:
F.J. FABOZZI, S.M. FOCARDI, P.N. KOLM, Financial Modeling of the Equity Market: From CAPM to Cointegration, Wiley, 2006
J.Y. CAMPBELL e L.M. VICEIRA, Strategic Asset Allocation, Oxford Un. Press, 2002



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Altre informazioni

http://sites.carloalberto.org/nicodano/didattica.html
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