# STATISTICAL SCIENCES FOR FINANCE | Asset Pricing

## STATISTICAL SCIENCES FOR FINANCE Asset Pricing

 0222400003 DEPARTMENT OF ECONOMICS AND STATISTICS EQF7 STATISTICAL SCIENCES FOR FINANCE 2022/2023

 YEAR OF COURSE 2 YEAR OF DIDACTIC SYSTEM 2014 SPRING SEMESTER
SSD CFU HOURS ACTIVITY TYPE OF ACTIVITY SECS-P/01 10 60 LESSONS COMPULSORY SUBJECTS, CHARACTERISTIC OF THE CLASS
 MARIA GRAZIA ROMANO T
ExamDate
ASSET PRICING03/04/2023 - 09:00
ASSET PRICING03/04/2023 - 09:00
Objectives
THE COURSE DISCUSSES MODELS OF BENAVIOR OF AGENTS ACTING IN FINANCIAL MARKETS AND FOCUSES ON ASSET PRICING AND MARKET FUNCTIONING.

KNOWLEDGE AND UNDERSTANDING

STUDENTS WILL BE ENDOWED WITH CONCEPTUAL AND ANALYTICAL TOOLS TO INTERPRET THE MAIN FINANCIAL PHENOMENONS, TO UNDERSTEND THE ASSET PRICES DETERMINANTS, TO EVALUATE ALTERNATIVE PORTFOLIO STRATEGIES.

APPLYING KNOWLEDGE AND UNDERSTANDING

STUDENTS WILL ACQUIRE THE ABILITY TO CONSTRUCT A CRITICAL EVALUATION OF THE FINANCIAL SYSTEM, AND WILL BE ABLE TO EXPLAIN THE BEHAVIOUR OF FINANCIAL ACTORS AND ASSET PRICES.
THEY WILL LEARN TO ANALYZE AND REPRESENT IN A CLEAR WAY NEW FINANCIAL PROBLEMS. THEY WILL BE ALSO ABLE TO DEEPEN THEIR COMPETENCES BY CONSULTING BOOKS AND OTHER FINANCIAL PUBLICATIONS.
Prerequisites
MATHEMATICAL OPTIMIZATION, LINEAR ALGEBRA AND STATISTICS ARE PREREQUISITES TO THE COURSE.
Contents
FUNCTIONS OF CAPITAL MARKETS. INTERTEMPORAL CHOICE UNDER NO UNCERTAINTY. CHOICE UNDER UNCERTAINTY: EXPECTED UTILITY, RISK AVERSION, AND RISK PREMIUM. STATE PREFERENCE MODEL: LAW OF ONE PRICE AND ARBITRAGE, SECURITY PRICES UNDER COMPLETE MARKETS. MEAN VARIANCE MODEL AND CAPITAL ASSET PRICING MODEL (CAPM): EFFICIENT FRONTIER AND EQUILIBRIUM RETURNS; SPECIAL CASES AND GENERAL MODEL. ARBITRAGE PRICING THEORY (APT): SPECIAL CASES AND GENERAL MODEL. CONSUMPTION CAPITAL ASSET PRICING MODEL (CCAPM): TWO-PERIOD AND MULTI-PERIOD CASE. INFORMATIONAL EFFICIENCY OF MARKETS AND PREDICTABILITY OF ASSET RETURNS. SPECULATIVE BUBBLES AND ASSET MISPRICING: THE LIMITS TO ARBITRAGE. THE EQUITY PREMIUM PUZZLE.
Teaching Methods
25 LECTURES, 5 TUTORIALS WITH INDIVIDUAL AND GROUP ACTIVITIES.
Verification of learning
THE ACHIEVEMENT OF THE OBJECTIVES OF THE COURSE IS ASSESSED THROUGH A WRITTEN EXAM WITH MARKS EXPRESSED IN 30S. THE MINIMUM GRADE FOR A PASS IS 18. THE EXAM LASTS 60 MINUTES AND AIMS AT VERIFYING, IN A TRANSPARENT AND OBJECTIVE MANNER, THE LEVEL OF KNOWLEDGE AND UNDERSTANDING ACQUIRED BY THE STUDENT OF THE COURSE PROGRAMME. THE TEST IS STRUCTURED IN THEORY QUESTIONS AND TWO EXERCISES. THE THEORETICAL QUESTIONS ARE DESIGNED TO EVALUATE THE STUDENT'S KNOWLEDGE OF THE PROGRAM AND THE UNDERSTANDING OF THE ECONOMIC AND FINANCIAL CONCEPTS DEVELOPED THEREIN. SOLUTION OF THE EXERCISES REQUIRES THE DEVELOPMENT OF MODELS STUDIED DURING THE COURSE AND THE APPLICATION OF THE METHODOLOGIES ACQUIRED DURING CLASSES AND TUTORIALS.
THE STUDENT IS INFORMED OF THE MARK ASSIGNED TO EACH EXERCISE OR THEORETICAL QUESTION.
DURING THE EXAM, IT IS NOT ALLOWED THE USE OF TEXTS, COMPUTERS, CELL PHONES, TABLETS OR SMART WATCHES. IN CASE THE EXERCISES REQUIRED NUMERIC CALCULATIONS, A CALCULATOR MAY BE USED.
Texts
M. PAGANO - L. PANDOLFI - G.W. PUOPOLO, ECONOMIA DEL MERCATI FINANZIARI, ED. IL MULINO