Parte 1: Market and Securities’ Characteristics. (6h)
Markets and Indexes Definitions; Prices and Returns of Securities; Prices and Returns of a Portfolio;
Esercitazione 1: Stocks and Portfolios’ Return and Risk and Introduction of the Efficient Frontier. (2h)
Parte 2: Efficient Portfolios and Efficient Frontier. (6h)
Building the Efficient Frontier; Shape of the Efficient Frontier; Extend the Efficient Frontier allowing for Risk Free Rate and Short Selling; Return Maximization Problem;
Esercitazione 2: The Analysis of the Efficient Frontier and Single Index Model. (2h)
Parte 3: Single Index Model. (6h)
Inputs for the Portfolio Analysis; Single Index Model: Overview and Characteristics;
Estimating Stocks and Portfolios’ Market Betas; Building the Frontier with the Single Index Model.
Parte 4 e 5: Standard and Non-Standard Capital Assets Pricing Model. (12h)
Capital Asset Pricing Model Intuitive and Rigorous Approach; Fama-French-Carhart Multifactor Model (FFC); CSR Risk-Factors and the Investors’ Preferences for Responsible Investment; Corporate Social Responsibility, Responsible Investments on the Financial Markets; Responsible Fama-French-Carhart Model (RFFC); Standard Test for Equilibrium Models; Black, Jensen e Sholes Approach; Fama-MacBeth Approach;
Esercitazione 3: CAPM and Empirical Tests. (2h)
Parte 5: Efficient Markets Hypothesis.(6h)
Introduction to the Efficient Market Hypothesis (EMH); The three forms of Market Efficiency;
Semi-Strong Market Efficiency and the Event Study; Tests for the Semi-Strong Market Efficiency;
Esercitazione 4: Factor Models. (2h)
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