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Financial Modelling

Description

Prerequisites
Investments, Capital Markets, or equivalent course

Objectives
Applications in Portfolio Optimization

Description / Program

The purpose of the course is to provide students with an applied view of the investment process, especially in the equity space. Before dealing with the more applied topics, we will need to review the theory behind the efficient frontier (Markowitz Theory). We will do extensive use of Excel to develop applications within domains such as the Efficient Frontier, the Treynor-Black Model, the Black-Litterman Approach to Portfolio Optimization, Performance Evaluation, and Factor Investing. The learning objectives of the course are both theoretical and applied. You will be tested on both your understanding of the theories and your ability to apply the theories to real data in Excel. We will stress the realism of the applications.

Learning Method / Style of Lessons
Lectures and Problem Sets with applications in Excel

Exam Style
Final Exam in Computer Room using Excel

Readings/Textbooks
Lecture Notes and Reading Material suggested in class.

People

 

Franzoni F.

Course director

Mano N.

Assistant

Additional information

Semester
Fall
Academic year
2019-2020
ECTS
6
Language
English
Education
Master of Science in Economics in Finance, Core course, Minor in Banking and Finance, 2nd year

Master of Science in Economics in Finance, Elective course, Minor in Digital Finance, 2nd year

Master of Science in Economics in Finance, Elective course, Minor in Quantitative Finance, 2nd year

Master of Science in Financial Technology and Computing, Core course, Lecture, 1st year