Portfolio management (2016/2017)

Course code
Name of lecturer
Francesco Rossi
Francesco Rossi
Number of ECTS credits allocated
Academic sector
Language of instruction
Primo semestre Magistrali dal Sep 26, 2016 al Jan 13, 2017.

Lesson timetable

Learning outcomes

The course takes place in two parts.

The first part of the course is to provide students with the basic methodologies typical of the Technical Analysis for the study of the evolutionary characteristics of the quotations on the markets in order to develop tactical actions aimed at supporting investments.

The second part of the course develops, in the context of fundamental analysis, the modern theory of portfolio selection of investments with uncertain returns, typically investments in equity securities that the production / marketing of products and / or services. Attention is paid to the study of modeling for the composition of efficient portfolios, the identification of the preferred portfolio and analysis of balance on the capital market.


Part One: Technical Analysis

Purpose descriptive, interpretative, forecasting, management. The system market.
1. The study of graphics for operational purposes
Price dynamic function of time. Dynamics of prices and volumes versus time. Detection of price changes in timeless dimension.
2. Models heuristic quantitative
Moving averages. Oscillators. Processing of historic prices: RSI, DMS, MI, CCI, VHF, ADI, VI. Processing time series of prices and volumes: OBV, ADL, MFI. Processing of historic prices and market indices: SMEs. Processing of series of sets of prices: ADI, ADR, NHNL. The logistics function.
3. Models for taking speculative positions.
Trend-following techniques: systems based on moving averages, Parabolic System, Volatility System, Swing System. Indicators generated from historical price and volume: Ease of Movement Value. Techniques for the management of positions in congested phases: TBPS, RTS, SO, indicators of Williams.
4. From the models depending on operating systems.
Qualification of the current phase of the market, setting the business strategy, estimating the evolutionary potential and the time horizon. Outline of technical neural and fuzzy logic.

Second part: Portfolio theory

1. Choices portfolio.
Markowitz model: No titloli equity analysis with a title and a certain return; analysis with n titloli equity, title to certain performance and the ability to borrow at some cost. Models single index: estimation of Beta, the market model. Models more indices, models average correlation and mixed models.
2. Identification of the optimal portfolio.
Utility functions and investment choices. Empirical evidence of preferred alternatives.
3. Other models of portfolio selection
Optimization of the geometric mean return. The Technical Safety First, the stochastic dominance, the analysis of skewness, the Value at Risk (VaR).
4. Diversification International
The global portfolio. Returns on investments in foreign markets. The risk of foreign securities; returns arising from international diversification; effect of exchange rate risk; models for managing international portfolios.
5. Models of equilibrium in the capital market
The CAPM, non-standard forms of CAPM, APT.
6. Evaluation of the performance of a portfolio
Technical evaluation; Decomposition of the overall assessment; APT and evaluation multi-index performance; analysis of the performance of mutual funds.

For the first part:
M. Pring, Introduction to Technical Analysis, McGraw-Hill, NY, 1998 or JJ Murphy, technical analysis of financial markets, Hoepli, Milano, 2002.
For the second part:
F. Rossi, F. Mantovani, Portfolio theory: diversification of investments and control of the risk-return profile, Monduzzi Editore, Bologna, 2010.

The conduct of the lessons
The lessons, for a total of 60 hours, are held in a classroom equipped with computers and software. Lectures are developed, so even with applications and simulations. There are hours of tutoring in the classroom aimed at support for the use of the software and the preparation of the project work.

Assessment methods and criteria

With the help and under the supervision of the teacher, they will be formed study groups (of up to 4 students) will analyze from 5 to 10 securities / indices over time and produce a paper, project work, to be sent to the teacher via email, for evaluation.
In this project work you will have to make the best use all the techniques, models and methods of analysis svilluppati gradually over and which are the key points of the same.

The part of the project work on the Technical Analysis will be developed, compiled and evaluated by the teacher before mid November.
The project work in his capacity as full and final will be sent via mail to the teacher for approval at least one week before of the exam where the students involved are concerned. Only after positive evaluation (maximum 4/30) of the project work will be accessible examination.

The project work is part of the methods of active participation of students in the course and is introduced with the aim of:
- Stimulate students to the systematic study and regular matter as they tackle the various issues and then to improve the learning process as methods and models that gradually propose are the foundations on which to develop more complex models and methods that They are proposed in the sequence of lessons;
- Improve the capacity and quality of interpersonal relationships and in particular the work in teams;
- Improve the capacity and quality of presentation / display using patterns and vocabulary typical asset management.
These elements play an important role in professional training and are highly regarded in the labor market.

The exam consists of a written test, two hours, throughout the program, with exercises, an open question, a question of your choice, and possible interview aimed at verifying the depth and breadth of knowledge gained, the properties of language , the ability to connect in systemic form knowledge.