Class 7

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

3 Selecting the Optimal Portfolio

3.1 Utility Theory

3.1.1 In a context of certainty

3.1.2 Under uncertainty

3.1.3 Utility functions and their properties

3.1.4 Risk tolerance functions

3.1.5 The Choice of the optimal portfolio

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Class 6

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

2.2 Single index Model

2.2.1 Underlying Ideas

2.2.2 Model Assumptions

2.2.3 Characteristics of Single-index models

2.2.4 Using the Model

2.2.5 A measure of non-diversifiable risk

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

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Class 5

26 Outubro 2011, 08:00 • Raquel M. Gaspar

1.3 The Shape of the investment opportunity set

1.4 The Efficient Frontier

1.5 The Efficient Frontier Analytical Deduction

2 Portfolio Selection Models

2.1 Constant Correlation Model

2.1.1 Motivation

2.1.2 Choosing the Efficient Portfolios

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Class 4

19 Outubro 2011, 08:00 • Raquel M. Gaspar

1.2 Finding Efficient Portfolios

• Combinations of two risky assets
• Form of the investment oportunity set
• Introducing the risk-free asset
• The efficient frontier
  • without Short Sales and without risk-free asset
  • with Short Sales but without the risk-free asset
  • without Short Sales but with the risk-free asset
  • with  Short Sales and with the risk-free asset
  • Inclusion of different shortselling restrictions

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Class 3

12 Outubro 2011, 08:00 • Raquel M. Gaspar

PART II - PORTFOLIO THEORY
1 Mean Variance Portfolio Theory
1.1 Risk and Return // Risk of homogenous portfolios // Diversification

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