2. References#

Here some references to othere sources, in order to reasonably organize the contents of this book

Investment and Portfolio Management - RICE - coursera - A.Ozoguz, J.Foote
Global Financial Markets

  • Intro and Review of Elementary Finance Tools

  • Financial system and financial assets: fixed income, equity and derivatives

  • Organization of financial markets and securities trading

Portfolio Selection and Risk Management

  • Intro and R/R: R/R trade-off

  • Ptf construction and diversification

  • Investor choices: utility functions, mean-variance preferences

  • Optimal capital allocation and portfolio choice: mean-variance optimization (Modern Portfolio Theory)

  • Equilibrium asset princing models: CAPM, return-beta; multi-factor models (e.g. Fama-French)

Biases and Portfolio Selection

  • Efficient Market Hypotesis (EMH), and anomalies

  • Biases and realistic preferences

  • Inefficient markets: equity premium, volatility puzzle (?), long-run reversal to the mean, value effect, momentum

  • Investor behavior

Investment Strategies and Portfolio Analysis

  • Performance measurement and benchmarking

  • Active vs passive investing: \(R^*\) risk-adjusted return measurements: Sharpe, Sortino, Treynor’ratio, Jensens’alpha,…;comparing rhe \(R^*\)

  • Performance evaluation: style analysis and performance attribution

Capstone: Build a Winning Investment Portfolio

Using software for building ptf and assess its properties

  • …