Sumários
Lecture 7
25 Outubro 2024, 09:30 • Raquel M. Gaspar
Return generating models: constant correlation models, single factor models and multi-factor models.
Tutorial 3
22 Outubro 2024, 13:00 • Raquel M. Gaspar
Solving Computer Assignment 2 in Excel, part 1.
Lecture 6
18 Outubro 2024, 09:30 • 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).
Mean-variance representation of safety first criteria of Roy, Kataoka and Telser.
International diversification and the role of exchange rate risk.