Corso di studio in Economia

Canale A - Asset pricing and allocation

The course provides the students with the building blocks of asset pricing and portfolio choice from an applied perspective. In particular, the course introduces the students to the practical implementation of portfolio management and security valuation by using simple models and real data. 

Canale B - Life cycle models in practice

This course provides an introduction to dynamic programming, computational methods, and
structural estimation of life cycle models.

Canale A - Asset pricing and allocation

Students will learn how to build and evaluate in practice optimal portfolios, simulate asset price dynamics, and price numerically basic options. After endowed with a simple theoretical background, students will apply their new knowledge on a compter software, such as Matlab. Students are expected to learn how to program in Matlab simple portfolio optimization and security valuation.  

Canale B - Life cycle models in practice

The main goals of the course are to introduce students to standard tools used to solve dynamic optimization problems, demonstrate practically
how these tools are used, focus on methods that can be extended to more complex setups.

 

 

Canale A - Asset pricing and allocation

Students will be provided with lecture notes as well as scripts, codes and data

 

Canale B - Life cycle models in practice

Lecture notes and codes.

 

Canale A - Asset pricing and allocation

Practical test 

Canale B - Life cycle models in practice

Final exam/project

 

Canale A - Asset pricing and allocation

1) The background: portfolio theory

2) Preliminary: introduction to Matlab

3) Building optimal portfolios: the basic

5) Programming in Matlab: portfolio optimization

6) Optimal portfolios with constraints

7) Optimal portfolios with real data

8) Numerical methods in Matlab: basic option pricing

 

 

Canale B - Life cycle models in practice

• Introduction to dynamic programming
• Life cycle income processes
• Stochastic optimization
• Infinite horizon problem
• Estimation Methods
• Applications and Extensions