Sumários
class 10
25 Novembro 2013, 10:00 • 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
Class 9
22 Novembro 2013, 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
Class 9
18 Novembro 2013, 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
Class 8
15 Novembro 2013, 10:00 • Raquel M. Gaspar
3 Selecting the Optimal Portfolio
...
3.2 Alternative Selection Criteria
3.2.1 Maximizing the Geometric Mean
3.2.2 "Safety First" Criteria
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
Class 8
11 Novembro 2013, 10:00 • Raquel M. Gaspar
3 Selecting the Optimal Portfolio
...
3.2 Alternative Selection Criteria
3.2.1 Maximizing the Geometric Mean
3.2.2 "Safety First" Criteria
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