Studying at the University of Verona
Here you can find information on the organisational aspects of the Programme, lecture timetables, learning activities and useful contact details for your time at the University, from enrolment to graduation.
Study Plan
This information is intended exclusively for students already enrolled in this course.If you are a new student interested in enrolling, you can find information about the course of study on the course page:
Laurea magistrale in Banca e finanza - Enrollment from 2025/2026The Study Plan includes all modules, teaching and learning activities that each student will need to undertake during their time at the University.
Please select your Study Plan based on your enrollment year.
1° Year
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2° Year activated in the A.Y. 2021/2022
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Legend | Type of training activity (TTA)
TAF (Type of Educational Activity) All courses and activities are classified into different types of educational activities, indicated by a letter.
Asset Pricing Models (2021/2022)
Teaching code
4S006069
Academic staff
Coordinator
Credits
9
Language
Italian
Scientific Disciplinary Sector (SSD)
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Period
secondo semestre (lauree magistrali) dal Feb 21, 2022 al May 13, 2022.
Learning outcomes
The course aims to provide a quantitative approach for dealing with investment and consumption problems under uncertainty. Fundamental topics presented in the course are also related to the efficient structure of financial markets and equilibrium theory.
Students may find useful to follow this course after those of Mathematical Finance, Financial Risk management and, Portfolio Management and Equity markets.
Program
1. Choices in presence of risk: preliminary aspects
a) utility functions;
b) risk aversion;
c) stochastic dominance.
2. Portfolio theory in a single time period
a) utility maximization;
b) mean-variance. Markowitz portfolio theory;
c) insurance, saving and consumption.
3. General equilibrium theory
a) pareto-optimality;
b) equilibrium theory;
c) fundamental theorem of asset pricing;
d) CCAPM, CAPM e APT models.
4. Asset pricing models
a) historical risk and return;
b) markets efficiency;
c) multi-factor models: CAPM;
d) real options.
5. Dynamic portfolio theory, multiple time periods
a) optimal investment and consumption: dynamic programming principle;
b) equilibrium theory and fundamental theorem of asset pricing;
c) optimal investment and consumption in continuous time: Merton problem.
6. Technical analysis
a) the market system, price and volume dynamics as a function of time;
b) heuristic-quantitative models: indicators and oscillators, logistic function;
c) from basic models to operating systems, qualification of the current market phase, definition of operational
strategy, evaluation of the evolutionary potential and time horizon.
TEACHING METHOD:
The course articulates in lectures. Attending lectures is strongly recommended but not compulsory. Lecture slides will be made available on Moodle platform.
Tutoring activities are scheduled during the course.
Bibliography
Examination Methods
The final exam is a written test containing both exercises and theoretical questions.
