Financial econometrics and empirical finance (Fall 2021)
Undergraduate course, Bocconi University, 2021
2019 - Financial econometrics and empirical finance provides students with the basic techniques for understanding and using probabilistic models and inferential statistical procedures commonly used in finance.
Intended Learning Outcomes (ILO)
At the end of the course student will be able to:
- Deal with basic applications of Statistics and Probability in Finance, in particular in the cases of investment choices, risk management, risk control and performance attribution for an equity portfolio.
- Have a correct understanding of many basic quantitative procedures in applied Finance such as, for example: the quantification of volatility and its relation with time, the need to overcome the Gaussian hypothesis regarding the distribution of returns, the commonly considered hypotheses about the choice between different financial assets for different time horizons, how to estimate expected returns and the risk premium, the problem of robustness in asset allocation.