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Most of these slides are based on lecture notes by Peter Ireland.
Math preliminaries and general equilibrium
Measures of risk aversion and their interpretation (up to page 66, stochastic dominance has not been covered)
Risk Aversion and Investment Choices
APT and Multifactor Models, Fama-French three factors
Arrow-Debreu Equilibrium and the CAPM
Arrow-Debreau Pricing: Arbitrage
Term Structure of Interest Rates
Matlab code for the solution of the decentralized competitive equilibrium considered in class, and the corresponding prices of contingent claims (solves systems of linear/non-linear equations)
Tests
The test will be composed of one numerical exercise and one theory question. You can reply in Italian. If you want to use English, then your written English must be good. If I do not understand what you wrote, I will consider it as wrong.
To receive your official and final grade, you need to pass also the other part of the course of Financial Economics, taught by Piergiovanna Natale. When you sign up for the part taught by Prof. Natale, also sign up for Financial Economics. Once you have done that, and passed the two parts, your result will be officially reported in the system.
Erasmus students can take DAPT as a standalone course. In this case, they just need to sign up for DAPT through the University system.
Results 14/4/25
Results 10/02/25
Results 23/1/2025 I report just the results of those who passed the test. Those who do not want to register this result should send me a mail by 4/2/25 at noon.
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