Argomenti dell'insegnamento
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.
Modalità di insegnamento
Lectures in presence