Financial Econometrics is not our sole interest. We are interested in portfolio choice and we have published an introductory book on the topic called “Essentials of Applied Portfolio Management” with Bocconi University Press (BUP). The book is tought for an introductory course at Master of Science level, but it would be suitable for an advanced undergraduate course as well. We believe that this book may also serve as an agile reference for practioners looking for a rigorous text that is not however overwhelming with math.
In particular, Chapters 1-4 review the basics of utility optimization and the Mean- Variance framework. Chapter 5 explores Single and Multi Index Models. Chapter 6 introduces human capital in the portfolio problem. Finally, Chapter 7 provides hint on performance measurament and reviews the difference between active and passive strategies.
The book provides a number of simple, practical examples to allow the reader to apply the theoretical concepts presented in each chapter. A portion of such practical cases are worked out in Excel and made available through the book’s website (featured by BUP, you will find a code inside the book that you can use to access the online material).
Essentials of Time Series for Financial Applications 