class 10

24 Novembro 2014, 09:30 • Raquel M. Gaspar

Part IV - Portfolio Analysis

            1 Stock Valuation Models

                        1.1 Discounted cash-flow models

                        1.2 Analysis of multiples

2 Basics on Bonds' Valuation

                        2.1 Cash-flows

                        2.2 Spot vs forward interest rates

                        2.3 Yield-to-maturity

                        2.4 Term structures

                        2.5 Credit Risk

3 Evaluation of Portfolio Performance

                        3.1 Return measures

                        3.2 Risk Measures

                        3.3 Return and risk Measures

                        3.4 Other measures of performance

                        3.5 Problems with performance evaluation             

4 Portfolio Management

                        4.1 Active Management

                        4.2 Passive versus Active

 

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Class 9

21 Novembro 2014, 10:00 • Raquel M. Gaspar

Part III - Models of Equilibrium in Capital Markets   

            1 O CAPM- Capital Asset Pricing Model

                        1.1 Assumptions of standard CAPM

                        1.2 The Standard Capital Asset Pricing Model

                        1.3 Nonstandard Forms of Capital Asset Pricing Models

                        1.4 Empirical tests

            2 O APT- Arbitrage Pricing Model

                        2.1 Assumptions of APT

                        2.2 Estimating and Testing APT

                        2.3 APT versus CAPM

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Class 9

18 Novembro 2014, 09:30 • Raquel M. Gaspar

Part III - Models of Equilibrium in Capital Markets   

            1 O CAPM- Capital Asset Pricing Model

                        1.1 Assumptions of standard CAPM

                        1.2 The Standard Capital Asset Pricing Model

                        1.3 Nonstandard Forms of Capital Asset Pricing Models

                        1.4 Empirical tests

            2 O APT- Arbitrage Pricing Model

                        2.1 Assumptions of APT

                        2.2 Estimating and Testing APT

                        2.3 APT versus CAPM

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Class 9

17 Novembro 2014, 09:30 • Raquel M. Gaspar

Part III - Models of Equilibrium in Capital Markets   

            1 O CAPM- Capital Asset Pricing Model

                        1.1 Assumptions of standard CAPM

                        1.2 The Standard Capital Asset Pricing Model

                        1.3 Nonstandard Forms of Capital Asset Pricing Models

                        1.4 Empirical tests

            2 O APT- Arbitrage Pricing Model

                        2.1 Assumptions of APT

                        2.2 Estimating and Testing APT

                        2.3 APT versus CAPM

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Class 8

14 Novembro 2014, 10:00 • Raquel M. Gaspar

3 Selecting the Optimal Portfolio

...

3.2.3 Stochastic Dominance

3.2.4 "Skewness" and distribution analysis

4 Widening the Selection Universe

4.1 International diversification and the world portfolio

4.2 The role of exchange rate risk

 

Exercises

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