Class 12

14 Dezembro 2011, 08:00 • Raquel M. Gaspar

P ART V- E FFICIENCY IN F INANCIAL M ARKETS

1 Forms of efficiency

2 Testing market's efficiency

3 Week and strong arbitrage and markets efficiency

4 "Anomalies" existent in financial markets

5 Behavioural Finance Intro

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Class 10

7 Dezembro 2011, 08:00 • Raquel M. Gaspar

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 11

30 Novembro 2011, 08:00 • Raquel M. Gaspar

P ART IV - P ORTFOLIO A NALYSIS

1 Stock Valuation Models

1.1 Discounted cash-flow models

1.2 Cross-sectional regression analysis

1.3 Wells Fargo Valuation system

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

2.1 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

3.1 Active Management

3.2 Passive versus Active

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Class 9

23 Novembro 2011, 08:00 • Raquel M. Gaspar

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

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Class 8

16 Novembro 2011, 08:00 • Raquel M. Gaspar

3.1.4 Risk tolerance functions

3.1.5 The Choice of 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

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