Lecture 7

4 Novembro 2021, 14:00 • 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.  

International diversification and the role of exchange rate risk.

---

Lecture 7

2 Novembro 2021, 14:00 • 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.  

International diversification and the role of exchange rate risk.

---

Tutorial 5

29 Outubro 2021, 14:30 • Raquel M. Gaspar

Solving Computer Assignment 01 in Excel: portfolios of two assets + the riskless asset.

---

Tutorial 5

29 Outubro 2021, 14:30 • Raquel M. Gaspar

Solving Computer Assignment 01 in Excel: portfolios of two assets + the riskless asset.

---

Lecture 6

28 Outubro 2021, 14:00 • Raquel M. Gaspar

Portfolios of two assets: two risky assets + one risky asset and the riskless asset. 

Portfolio of 3 assets: 2 risky assets and a riskless asset. 

Determination of the tangent (T) portfolio and the minimum variance portfolio (MV). 

Equations for the EF under a variety of different possible scenarios concerning shortselling and restrictions on the riskless asset.

---