Economic Models – Pavia

Argomenti del programma: First part: 1) Review on convexity and optimization theory; 2) Preferences; 3) Utility representations; 4) Risk Aversion; 5) Stochastic Dominance; 6) Mean-Variance models and classical portfolio selection Second part: 1) Mean-Variance; Matlab implementation and real data examples 2) Beyond mean-variance: alternative risk-measures 3) Estimation of the variance covariance matrix - Single Index and Multi Index models…