Lecture 7

21 Outubro 2025, 08:30 • RAQUEL GASPAR

Investor risk profiling. Expected utility theory (EUT). Axioms of EUT and its usage. From questionnaires to utility functions. Properties of utility functions. Absolute and relative measures of risk aversion.

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Lecture 6

14 Outubro 2025, 08:30 • RAQUEL GASPAR

 Mean-variance representation of safety first criteria of Roy, Kataoka and Telser.  International diversification and the role of exchange rate risk. Return generating models: constant correlation models, single factor models and multi factor models.

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Lecture 5

7 Outubro 2025, 08:30 • RAQUEL GASPAR

MVT the general case. Determination of the IOS and EF for 3 or more risky assets. The envelop hyperbola. Determination of tangent portfolios (with different active and passive riskless rates). 

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Lecture 4

30 Setembro 2025, 08:30 • RAQUEL GASPAR

Introduction to mean-variance theory (MVT). MVT assumptions and inputs. Investment opportunity set (IOS). Efficient frontiers (EF). Portfolios of two risky assets.

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Lecture 3

23 Setembro 2025, 08:30 • RAQUEL GASPAR

Pooled investments. Portfolio concepts. Variance of individual assets and portfolios. Volatility as a measure of risk. Analysis of risk diversification using homogeneous portfolios. Other measures of risk.

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