Sumários
Lecture 07
5 Novembro 2020, 14:00 • 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/7df63791-bdd5-4a5f-9675-d67e13a03cb5
Part 2: https://web.microsoftstream.com/video/96ebe2ae-f184-473f-b087-14db7c875f4c
Lecture 07
3 Novembro 2020, 14:00 • 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/de46025b-bed7-4cb4-b5c2-06b473322b41
Part 2: https://web.microsoftstream.com/video/c57ba348-7e36-47ae-a4a6-3442384a9299
Tutorial 05 (Online, joint to S12 and S42, 1h30)
30 Outubro 2020, 14:30 • Raquel M. Gaspar
Solving Computer Assignment 02 in Excel: portfolios of 3 or more assets + safety first criteria.
Recording: https://web.microsoftstream.com/video/56e7d94e-ada3-4765-a640-ffc9997a2aff
Lecture 06
29 Outubro 2020, 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.
Recordings:
Part 1: https://web.microsoftstream.com/video/acdf86da-ec33-40ee-8463-1d37b7a538ed
Part 2: https://web.microsoftstream.com/video/144a5def-78d0-44f7-bbb7-ffa1d046911d
Lecture 06
27 Outubro 2020, 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.
Recordings:
Part 1: https://web.microsoftstream.com/video/0db8157f-534f-43aa-aa0f-a47ce4ab56c6
Part 2: https://web.microsoftstream.com/video/649ccd33-46ce-447c-96f5-7a0d0e43ea26