Sumários
Lecture #13
4 Dezembro 2023, 08:00 • Bruno Gomes Fernandes
2. The Arbitrage Pricing Theory (APT)
2.1. Deriving APT
2.2. APT versus CAPM
Ex.4.13
3. Market Efficiency
3.1. Forms of Efficiency
3.2. Testing Efficiency
3.3. Anomalies
4. Behavioral Finance
4.1. Individual Biases
4.2. Group Biases
4.3. Portfolio Issues
Lecture #12
28 Novembro 2023, 18:00 • Bruno Gomes Fernandes
Mock Test
1. The Capital Asset Pricing Model (CAPM)
1.1. Standard CAPM
1.2. Non-Standard CAPM
1.3. Testing CAPM
Ex. 4.1, 4.6, 4.8
Lecture #11
24 Novembro 2023, 08:00 • Bruno Gomes Fernandes
2. Alternatives to Utility
2.1. Maximizing Long-Term Growth
2.2. Stochastic Dominance
2.3. Second-Order Stochastic Dominance
2.4. Risk Measures
Ex. 3.17, 3.18, 3.19
Lecture #10
17 Novembro 2023, 08:00 • Bruno Gomes Fernandes
1. Expected Utility Theory (EUT)
1.2. Utility Functions and their Properties
1.3. Risk Tolerance Function and the Optimal Portfolio
Ex. 3.2, 3.3., 3.9, 3.16
Lecture #9
10 Novembro 2023, 08:00 • Bruno Gomes Fernandes
3. Return Generating Models
3.4. Fundamental Analysis
3.5. Multi-Factor Models
1. Expected Utility Theory (EUT)
1.1. Foundations of Utility Theory
Ex. 2.14, 2.15