Quantitative modeling in finance, with a focus on portfolio theory.

Description

Quantitative methods for finance (30025) is a 2nd year course for the students enrolled in the CLEF classes at Bocconi University.

Intended Learning Outcomes (ILO)

• Apply advanced linear algebra and probability theory to structure economic preferences and quantitative decision-making.
• Analyze market dynamics using the Arrow-Debreu model, evaluate the no-arbitrage principle, and determine market completeness and stochastic discount factors.
• Apply expected utility theory and the Arrow-Pratt measures to assess risk aversion, certainty equivalents, and intertemporal optimization choices.
• Utilize random vectors, covariance matrices, and conditional expectations to model financial data.
• Estimate and test general linear models to perform empirical applications in finance, including CAPM, APT, and Style Analysis.
• Use MATLAB to execute quantitative financial models and perform numerical analysis efficiently.