II-3. Selecting portfolio. III-1. CAPM

7 Novembro 2012, 08:00 • Alfredo Egídio dos Reis

3.2 Alternative Selection 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

Part III - Models of Equilibrium in Capital Markets

  1. 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

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Part II-3. Selecting the Optimal Portfolio

31 Outubro 2012, 09:30 • WILLIAM HILEBRAND

EGBG » Chapter 7 » Exercises 4 and 5

EGBG » Chapter 12 » Exercise 1

Exercises related to the Absolute Risk Aversion and Relative Risk Aversion

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31 Outubro 2012, 08:00 • Alfredo Egídio dos Reis

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PART II

25 Outubro 2012, 12:30 • WILLIAM HILEBRAND

2.2. The Single Index Model

Class:

Constructing the optimal risky portfolio under the Single Index Model

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Part II-2. Portfolio selection models

24 Outubro 2012, 09:30 • Alfredo Egídio dos Reis

2.2 Single index

2.2.6 Beta Estimations
2.2.7 Choosing Efficient Portfolios
2.3 Multi-­‐Index Models
2.3.1 Characteristics of multi-­‐index models
2.3.2 Using Multi-­‐index models
2.3.3 Equivalent Models

3. Selecting the Optimal Portfolio
3.1 Utility Theory
3.1.1 In acontext of certainty
3.1.2 Under uncertainty

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