Sumários

Class 8

7 Novembro 2018, 10:00 • Raquel M. Gaspar

PART II - THEORY OF PORTFOLIO MANAGEMENT

  • Lintner definition of portfolio and its conncetion with shortselling restrictions
  • Safety restrictions of Roy, Kataoka and Telser and its mean-variance representation
  • International Diversification and the impact of exchnage rate risk in portfolio construction

Class 7

31 Outubro 2018, 10:00 • Raquel M. Gaspar

PART II - THEORY OF PORTFOLIO MANAGEMENT

  • Finding tangent portfolios
  • Application exercise with two risky assets and a riskless asset
  • Three or more risky assets and the envelop hyperbola
  • Shortselling impact on envelop hyperbolas
  • General MVT setup and derivations

Class 6

24 Outubro 2018, 10:00 • Raquel M. Gaspar

PART II - THEORY OF PORTFOLIO MANAGEMENT

2.2 Two risky assets

2.3 Including the riskless asset

2.4 Two risky assets + riskless asset

Class 5

17 Outubro 2018, 10:00 • Raquel M. Gaspar

Part II - THEORY OF PORTFOLIO MANAGEMENT

1. Portfolio Concepts

  • from expected return and risk of individual assets to expectd return and risk of portfolios
  • Risk/return tradeoff
  • Risk diversification and emergence of portfolio theory

2. Mean-Variance Theory (MVT)

  • Assumptions
  • Investment oportunity set (IOS)
  • Efficient investments
  • Investment representation on the plan (volatility, expected return)

Class 4

10 Outubro 2018, 10:00 • Raquel M. Gaspar

PART I - FINANCIAL MARKET STRUCTURE AND INSTRUMENTS

5. Pooled Investments

5.1 Investment Funds

5.2 The process of portfolio management