Mestrado Bolonha em Mathematical Finance

This course starts with an overview on financial markets and their instruments, and then goes towards combinations of alternative investments and portfolio theory. On what concerns portfolio theory, it covers the standard Modern Portfolio Theory (MPT), at a relatively high mathematical level. Investor profiling and choice of optimal portfolios are analysed under the classical expected utility theory (EUT) setup. Stochastic dominance and alternative risk measures are presented. The role of factor models is discussed and the two main types of equilibrium models – CAPM and APT – are derived and analysed. The course finishes discussing the limitations of the classical EUT setup and with an brief introduction into behavioural issues and prospect theory.