Behavioural Finance

Docente: Enrico De Giorgi

Tipo di corso: Master +2
Valore in crediti ECTS: 6
Riferimenti bibliografici sul sito della biblioteca (CoRe)

Academic year 2010/11 - Spring semester

This course will not be running in the 2010/2011 academic year, but will be taught again in 2011/2012.

Course description

The lectures give an introduction to Behavioral Finance. We start with a brief overview of the classical paradigms for decision making under risk (expect utility theory) and the implications for portfolio selection and asset pricing. We then provide a description of market anomalies and inefficiencies, and discuss some psychological biases and limits of real investors that might generate those anomalies.
We then introduce the most important descriptive models for decision making under risk, focusing on the Prospect Theory of Kahneman and Tversky (1979), the Cumulative Prospect Theory of Tversky and Kahneman (1992), and on the concepts of loss aversion, probability distortion, and mental accounting.
We finally study behavioral asset pricing models and behavioral models for portfolio selection, also discussing how the latter can be integrated into the advisory process of banks.

Textbooks

J. Montier, Behavioral Finance, John Wiley & Sons, New York, 2002.
A. Shleifer, Inefficient Markets: An Introduction to Behavioral Finance, Oxford University Press, Oxford, 2000.
H. Shefrin, A Behavioral Approach to Asset Pricing, Academic Press, 2008.