Lecture 07

13 Novembro 2020, 10:00 • Raquel M. Gaspar

International diversification and the role of exchange rate risk.

Return generating models: constant correlation models, single factor models and multi factor models.

 

Recordings:

Part 1: https://web.microsoftstream.com/video/9f2f0d68-d1d7-4931-a871-557c87f9abca

Part 2: https://web.microsoftstream.com/video/e2f285f5-d7ae-4623-8d2a-c90c77e30ef2

 

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Tutorial 08 (45min, online)

10 Novembro 2020, 09:00 • Raquel M. Gaspar

Solving Computer Assignment 2 in Excel, part 2.

 

Recording https://web.microsoftstream.com/video/1e26ff07-bfe6-4645-b1ca-cd104dd1ee26

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Lecture 06

6 Novembro 2020, 10:00 • Raquel M. 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).

Shortselling restrictions and Lintner portfolio definition.

Real life shortselling restrictions.

Mean-variance representation of safety first criteria of Roy, Kataoka and Telser. 

 

Recordings:

Part 1: https://web.microsoftstream.com/video/d759da3c-beea-4519-8227-b5dcae08105c  

Part 2: https://web.microsoftstream.com/video/705413b2-eeb9-4b5c-9f6e-fcaa43bdcb2d

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Tutorial 07 (45min, online)

3 Novembro 2020, 09:00 • Raquel M. Gaspar

Solving (part of) the Computer Assignment 2 in Excel.

Recording: https://web.microsoftstream.com/video/a4617b7f-fe9b-4d40-a7d4-8a3f81537023

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Lecture 05

30 Outubro 2020, 10:00 • Raquel M. Gaspar

Two risky assets and the riskless asset.

The general case of n=3 or more assets.

IOS and EF under various scenarios.

Finding tangent portfolios and the minimum variance portfolio.

 

Recording:

Part 1: https://web.microsoftstream.com/video/c10405ab-6a54-4272-bb4e-bfb0f4319d13

Part 2: https://web.microsoftstream.com/video/f2a866d0-8fd1-4956-8cb6-724f90fb4c4f

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