Riassunto esame Teoria finanziaria, prof. Barone-, libro consigliato Investments, Bodie, Kane, Marcus

USI – Facoltà di Scienze Economiche

III° anno, I° semestre, Teoria Finanziaria

Giovanni Barone‐Adesi

Anno accademico 2008/2009

Manolo Giuliani

1 THE INVESTMENT ENVIRONMENT ...................................................................................................... 8

1.1 R & F A ...................................................................................................................... 8

EAL INANCIAL SSETS

1.2 T F A .............................................................................................................. 8

IPOLOGIE DI INANCIAL SSETS ’ ......................................................................................... 8

1.3 R

UOLI DEI MERCATI FINANZIARI NELL ECONOMIA

................................................................................................................ 9

1.4 I L PROCESSO DI INVESTIMENTO

1.5 I .................................................................................................................. 9

MERCATI SONO COMPETITIVI

........................................................................................................................................ 9

1.6 T HE PLAYERS .................................................................................................................................. 10

1.7 R

ECENT TRENDS

1.8 R ........................................................................................ 10

IASSUNTO DEI CONCETTI CHIAVE DEL CAPITOLO

2 ASSET CLASSES AND FINANCIAL INSTRUMENTS ................................................................................ 10

2.1 M ............................................................................................................................... 10

ONEY MARKETS

2.1.1 T B ....................................................................................................................................... 11

REASURY ILLS D ( ) .............................................................................. 11

2.1.2 C ERTIFICATES OF EPOSIT DEPOSITI BANCARI VINCOLATI

2.1.3 C P ( ) ............................................................ 11

OMMERCIAL APER SORTA DI OBBLIGAZIONI A BREVISSIMO TERMINE

’ A ( ) .................. 11

2.1.4 B ANKER S CCEPTANCES SORTA DI ORDINE DI PAGAMENTO FUTURO ACCETTATO OGGI DALLA BANCA

......................................................................................................................................... 11

2.1.5 E

URODOLLARS

2.1.6 R R ( R ) ............................................................................................. 11

EPOS AND EVERSES CONTRARIO DEI EPOS

F ....................................................................................................................................... 11

2.1.7 F EDERAL UNDS

’ C ........................................................................................................................................ 12

2.1.8 B ROKER S ALL

2.1.9 T LIBOR M (L I O R M ) .................................................................. 12

HE ARKET ONDON NTERBANK FFER ATE ARKET

B ......................................................................................................................... 12

2.2 I L MERCATO DEI OND

T‐B ............................................................................................................................ 12

2.2.1 T‐N

OTES AND ONDS

2.2.2 T I ‐P S (TIPS I ‐P T B ) ..................... 12

REASURY NFLATION ROTECTED ECURITIES OR NFLATION ROTECTED REASURY ONDS

A D ............................................................................................................................. 12

2.2.3 F

EDERAL GENCY EBT

2.2.4 I B ............................................................................................................................ 12

NTERNATIONAL ONDS

B .................................................................................................................................. 12

2.2.5 M

UNICIPAL ONDS

B ................................................................................................................................. 13

2.2.6 C ORPORATE ONDS

2.2.7 M M ‐B S (I ) ...................................................................... 13

ORTGAGES AND ORTGAGE ACKED ECURITIES POTECHE

( ) .................................................................................................................. 13

2.3 E

QUITY SECURITIES AZIONI

M L ( ) ................................................................ 13

2.3.1 S

TOCK ARKET ISTINGS LEGGERE I LISTINI DEI MERCATI AZIONARI

2.4 I ..................................................................................... 13

NDICI DEI MERCATI AZIONARI ED OBBLIGAZIONARI

M I ........................................................................................................................... 13

2.4.1 S

TOCK ARKET NDEXES

2.4.1.1 Price‐Weighted Indexes (come il Dow Jones) .................................................................................. 14

2.4.1.2 Value‐Weighted Indexes (come lo Standard & Poor’s) .................................................................... 14

2.4.1.3 Altri tipi di indici (da pagina 46 a pagina 47 ma non li abbiamo visti) .............................................. 14

2.5 I ..................................................................................................................... 15

L MERCATO DEI DERIVATI

................................................................................................................................................. 15

2.5.1 O

PZIONI ................................................................................................................................................ 15

2.5.2 F

UTURES

HOW SECURITIES ARE TRADED ......................................................................................................... 15

3

3.1 H ................................................................................................................ 15

OW FIRMS ISSUE SECURITIES

B .............................................................................................................................. 15

3.1.1 I

NVESTMENT ANKING

3.1.2 S ................................................................................................................................ 16

HELF REGISTRATION

P ................................................................................................................................ 16

3.1.3 P RIVATE LACEMENT

Pagina 2 di 73

3.2 H ................................................................................................................ 16

OW SECURITIES ARE TRADED

....................................................................................................................................... 16

3.2.1 T

IPI DI MERCATI

3.2.2 T ’ ‐ ............................................................................... 17

IPOLOGIE DI ORDINI D ACQUISTO VENDITA NEI MERCATI

M ............................................................................................................................ 17

3.2.3 T

RADING ECHANISMS

( USA) ............................................................................................ 17

3.3 M ERCATI DEI TITOLI SECURITIES NEGLI

3.4 S ( ) ................................................................................. 17

TRUTTURA DEI MERCATI IN ALTRI PAESI VEDI LIBRO

C ( ) ................................................................................................................ 17

3.5 T RADING OSTS VEDI LIBRO

( ), ............................................................. 17

3.6 A CQUISTI AL MARGINE TO BULLISH ON STOCK BUYING ON MARGIN

3.7 V , ................................................................................................... 18

ENDITE ALLO SCOPERTO SHORT SALES

..................................................................................................... 18

3.8 R

EGULATION ON SECURITIES MARKETS ........................................................................................ 19

3.9 R

IASSUNTO DEI CONCETTI CHIAVE DEL CAPITOLO

MUTUAL FUNDS (FONDI DI INVESTIMENTO) AND OTHER INVESTMENT COMPANIES ........................ 19

4

4.1 I C ..................................................................................................................... 19

NVESTMENT OMPANIES

4.2 T .......................................................................................................... 20

YPE OF INVESTMENT COMPANIES

F ( ‐ ) .............................................................................. 20

4.3 M UTUAL UNDS OPEN END INVESTMENT COMPANIES

I M F ................................................................................................. 20

4.4 C OSTS OF NVESTING IN UTUAL UNDS

4.4.1 F M F R ............................................................................................................ 20

EES AND UTUAL UND ETURNS

M F ( ) ............................................................................ 21

4.5 T AXATION OF UTUAL UND INCOME TURNOVER RATE

‐T F (ETF) .......................................................................................................... 21

4.6 E

XCHANGE RADED UNDS

4.7 M F I P : A F L ........................................................................ 21

UTUAL UND NVESTMENT ERFORMANCE IRST OOK

......................................................................................... 22

4.8 R

IASSUNTO DEI CONCETTI CHIAVI DEL CAPITOLO

5 LEARNING ABOUT RETURN AND RISK FROM THE HISTORICAL RECORD ............................................. 22

..................................................................................... 22

5.1 D

ETERMINATION OF THE LEVEL OF INTEREST RATES

R R I ...................................................................................................... 22

5.1.1 T

AXES AND THE EAL ATE OF NTEREST

5.2 C R R F D H P ............................................................... 23

OMPARING ATES OF ETURN OR IFFERENT OLDING ERIODS

A R (EAR) – ................................................................................. 23

5.2.1 E

FFECTIVE NNUAL ATE INTERESSI COMPOSTI

P R (APR) – ............................................................................. 23

5.2.2 A NNUAL ERCENTAGE ATES INTERESSI SEMPLICI

5.2.3 R .................................................................................................. 23

ELAZIONE FRA TASSI SEMPLICI E CONTINUI

I ( ) ...................................................................................................... 23

5.3 T‐B ILLS AND NFLATION VEDI LIBRO

R P .................................................................................................................... 23

5.4 R

ISK AND ISK REMIUMS

5.4.1 H ‐P R (HPR) ............................................................................................................. 23

OLDING ERIOD ETURNS 2

R S D ( ) – V ( ) ( 5.5) ...................... 23

5.4.2 E

XPECTED ETURN AND TANDARD EVIATION Σ ARIANCE Σ PER STIME VEDI CAPITOL

5.4.3 E R R P ........................................................................................................ 24

XCESS ETURNS AND ISK REMIUMS ...................................................................................... 24

5.5 T IME SERIES ANALYSIS OF PAST RATES OF RETURN

A ( ‐ ) M G ( ‐ ) .......................................... 24

5.5.1 M

EDIA RITMETICA DOLLAR WEIGHTED E EDIA EOMETRICA TIME WEIGHTED

5.5.2 T R ‐ ‐V R – S R ................................................................................... 24

HE EWARD TO ARIABILITY ATIO HARPE ATIO

( ) ...................................................................... 25

5.6 L

A DISTRIBUZIONE NORMALE DIREI CHE È INUTILE PARLARNE

................................................................................................. 25

5.7 V

ALUTARE DISTRIBUZIONI NON NORMALI

5.8 R ..................................................................................... 25

IASSUNTO DEGLI ELEMENTI CHIAVE DEL CAPITOLO

6 AVVERSIONE AL RISCHIO E ALLOCAZIONE DEL CAPITALE IN ASSETS RISCHIOSI (CAL) ......................... 26

6.1 R R A ..................................................................................................................... 26

ISK AND ISK VERSION

6.1.1 R , S G ........................................................................................................... 26

ISK PECULATION AND AMBLING

Pagina 3 di 73

6.1.2 R A U V ........................................................................................................... 26

ISK VERSION AND TILITY ALUES

A A R R ‐ P ................................................................. 26

6.2 C APITAL LLOCATION CROSS ISKY AND ISK FREE ORTFOLIOS

6.3 T R ‐F A .......................................................................................................................... 27

HE ISK REE SSET

R A R ‐ A ............................................................................ 27

6.4 P

ORTOLIOS OF ONE ISKY SSET AND A ISK FREE SSET

T A A ................................................................................................ 27

6.5 R

ISK OLERANCE AND SSET LLOCATION

OPTIMAL RISKY PORTFOLIOS ............................................................................................................ 28

7

7.1 D ........................................................................................... 28

IVERSIFICAZIONE E RISCHIO DI PORTAFOGLIO

................................................................................................... 28

7.2 P

ORTAFOGLI CON DUE TITOLI RISCHIOSI

7.2.1 C ................................................. 29

ALCOLARE LA VARIANZA DI PORTAFOGLIO CON LA MATRICE DELLE COVARIANZE

S . ....................... 29

7.2.2 D EVIAZIONE TANDARD DI PORTAFOGLIO AL VARIARE DEI PESI SPEC PER UNA DATA CORRELAZIONE

O S (R STD) ............................. 29

7.2.3 P ORTFOLIO PPORTUNITY ET ENDIMENTO DI PORTAFOGLIO IN FUNZIONE DELLA SUA

7.3 A A W S , B T‐B .............................................................................. 30

SSET LLOCATION ITH TOCKS ONDS AND ILLS

(2 ) ............................................................................................. 30

7.3.1 I

L PORTAFOGLIO RISCHIOSO OTTIMO TITOLI

7.3.2 I ........................................................................................................ 31

L PORTAFOGLIO OTTIMO IN GENERALE

P S M ( ‐ )........................................ 31

7.4 M ARKOWITZ ORTFOLIO ELECTION ODEL DIVERSIFICAZIONE CON N RISKY TITOLI

8 INDEX MODELS ................................................................................................................................. 32

‐ ....................................................................................................... 32

8.1 A SINGLE FACTOR SECURITY MARKET

S ‐I M ................................................................................................................... 33

8.2 T HE INGLE NDEX ODEL

I M D .................................................................................................... 34

8.2.1 T

HE NDEX ODEL AND IVERSIFICATION

8.3 S S ‐I M ( 8.4) ........................................... 34

TIMARE IL INGLE NDEX ODEL COSTRUZIONE PORTAFOGLIO AL CAPITOLO

S C L D ............................................................................................. 34

8.3.1 T

HE ECURITY HARACTERISTIC INE FOR ELL

8.3.1.1 La stima di alfa .................................................................................................................................. 35

8.3.1.2 La stima di beta ................................................................................................................................ 35

S ‐I M ........................................................................ 35

8.4 P

ORTFOLIO CONSTRUCTION AND THE INGLE NDEX ODEL

8.4.1 T O R P S ‐I M ( ) ........................................ 35

HE PTIMAL ISKY ORTFOLIO OF THE INGLE NDEX ODEL MAI VISTO IN CLASSE

9 THE CAPITAL ASSET PRICING MODEL (CAPM) .................................................................................... 35

9.1 T CAPM ....................................................................................................................................... 36

HE

9.1.1 E R I S ............................................................................................ 37

XPECTED ETURNS ON NDIVIDUAL ECURITIES

9.1.1.1 Contributo di un singolo titolo alla varianza e al rendimento di mercato ....................................... 37

S M L ...................................................................................................................... 37

9.1.2 T

HE ECURITY ARKET INE

ARBITRAGE PRICING THEORY (APT) AND MULTIFACTOR MODELS OF RISK AND RETURN .................. 38

10

10.1 M M : ................................................................................................. 38

ULTIFACTOR ODELS AN OVERVIEW

10.1.1 A S M L ................................................................................................... 39

MULTIFACTOR ECURITY ARKET INE

P T ............................................................................................................... 39

10.2 A RBITRAGE RICING HEORY

E R ............................................................................................................... 39

10.2.1 B ETAS AND XPECTED ETURNS

10.2.2 T O ‐F S M L (O ‐F SML) ................................................................... 40

HE NE ACTOR ECURITY ARKET INE NE ACTOR

M APT ........................................................................................................................ 40

10.3 A ULTIFACTOR

11 THE EFFICIENT MARKET HYPOTHESIS ................................................................................................ 41

Pagina 4 di 73

14 BOND PRICES AND YIELDS ................................................................................................................ 42

14.1 C B .......