Course Topics
Capital Allocation and the Markowitz Model: Students begin by exploring the principles of mean-variance optimization, learning how to construct efficient portfolios that balance expected return against risk. Index Models, CAPM, and APT: The course then delves into single-index and multi-factor models, including the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). Students learn how these models explain asset returns, estimate betas, and assess systematic versus idiosyncratic risk. The Efficient Market Hypothesis (EMH): Students will learn the theory and evidence behind market efficiency, covering its three forms (weak, semi-strong, and strong). The course critically examines anomalies, behavioral finance challenges, and implications for active versus passive investing. Portfolio Performance Evaluation: Students learn to evaluate investment strategies using metrics such as Sharpe ratio, Treynor ratio, Jensen’s alpha, and information ratio. The course includes performance attribution analysis and benchmarking techniques to assess manager skill and strategy effectiveness. Sustainable Investing: The final module introduces Environmental, Social, and Governance (ESG) criteria and their integration into portfolio construction. Students explore the rise of impact investing, green bonds, and sustainability-themed ETFs, along with the challenges of measuring ESG performance and avoiding greenwashing.

Teaching format
Lectures in presence

Educational objectives
ILO (Intended Learning Outcomes) ILO 1 – Knowledge and Understanding: ILO 1.1 of a wide range of investment, financing, and risk management instruments, starting from the fundamentals of portfolio diversification and the classic models for asset pricing and risk measurement ILO 1.2 of specific Finance topics that characterize the profession of Financial Analyst, Portfolio Manager, Chief Financial Officer (CFO), Administrative Manager, Controller, Internal Auditor, and Business Consultant ILO 2 – Applying Knowledge and Understanding: ILO 2.1 for the identification, evaluation, and management of investments in financial markets ILO 2.2 for setting coherent financial management strategies in companies or financial intermediaries, competently applying the acquired knowledge in risk management techniques, asset valuation, and derivative handling ILO 3 – Making Judgments: ILO 3.1 ability to relate models and empirical evidence in the study of companies, intermediaries, and financial markets ILO 4 – Communication Skills: ILO 4 Ability to effectively communicate, both orally and in writing, the specialized content of individual disciplines, using different registers depending on the audience and the communicative and educational purposes, and to assess the educational impact of one’s communication ILO 5 – Learning Skills: ILO 5.1 ability to develop general models based on the phenomena studied

Assessment
The assessment is the same for both attending and non-attending students. Grades are entirely based on a final closed book written exam (ILO 1-5). Students have the possibility to sit a voluntary mid-term exam that can account for part of the final exam.

Evaluation criteria
The exam includes both open-ended qualitative and quantitative questions, which require short explanations and/or calculations. Marks will be awarded based on the correctness of calculations and/or how well the argumentation links to the course concepts.