Sumários
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.
Tutorial 2
15 Outubro 2024, 13:00 • Raquel M. Gaspar
Solving Computer Assignment 1 in Excel, part 2.
Lecture 5
11 Outubro 2024, 09:30 • Raquel M. Gaspar
Investment opportunity set (IOS). Efficient frontiers (EF).
Portfolios of two risky assets.
Introducing the riskless asset with different passive and active interest rates.
Two risky assets and a riskless asset.
Finding the tangent portfolio.
Including shortselling restrictions.
Lecture 4
4 Outubro 2024, 09:30 • Raquel M. Gaspar
Variance of individual assets and portfolios. Volatility as a measure of risk.
Analysis of risk diversification using homogeneous portfolios.
Other measures of risk.
Introduction to mean-variance theory (MVT). MVT assumptions and inputs