000240L - MATHEMATICAL MODELS FOR INVESTMENT DECISIONS

courses
ID:
000240L
Duration (hours):
48
CFU:
6
SSD:
METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE
Located in:
PESCARA
Url:
ECONOMICS AND COMMERCE/ECONOMIA E FINANZA Year: 2
Year:
2025
Course Catalogue:
https://unich.coursecatalogue.cineca.it/af/2025?co...

Overview

Date/time interval

Primo Semestre (14/09/2025 - 14/12/2025)

Syllabus

Course Objectives

At the end of the learning process, the student knows the theory of investment decisions and the theory of financial decisions under uncertainty as well as the theory of real options. He or she is able to make financial decisions and optimal choices of investment that agree with different selection criteria.

Course Prerequisites

No specific foundation course is required, but only some notions of probability theory, stochastic processes, and financial mathematics are required.

Teaching Methods

classroom-taught lesson where both theoretical and practical aspects of the discipline are dealt with, eventually also with the use of Matlab.

Assessment Methods

The exam is oral and may include the preparation of a project. The questions concern both the theory and the exercises and are aimed at verifying the preparation of the students on the topics in the program.

Texts

Portfolio and investment selection: theory and practice (from chapters 3 to 6) by Haim Levy and Marshall Sarnat
Teaching material provided by the teacher

Contents

- Portfolio optimization and optimal selection
- Investment Decisions under certainty
- Investment decisions under uncertainty
- Utility functions and their shapes
- The efficiency analysis of investments under uncertainty: stochastic dominance rules
- Investment valuation
- Real Options

Course Language

Italian

More information

Student reception:
- 2 hours per week with dates and times communicated at the beginning of the course;
- on request by reservation via e-mail.

Degrees

Degrees

ECONOMICS AND COMMERCE 
Master’s Degree
2 years
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