Currículo
Financial Markets and Investments FMI
Contextos
Groupo: Mathematical Finance > 2º Ciclo > Parte Escolar > Unidades Curriculares Obrigatórias
ECTS
6.0 (para cálculo da média)
Objectivos
This course starts with an overview on financial markets and their instruments, and then goes towards combinations of alternative investments and portfolio theory. On what concerns portfolio theory, it covers the standard Modern Portfolio Theory (MPT), at a relatively high mathematical level, in accordance with the Faculty and Institute of Actuaries CT8 module requirements. Investor profiling and choice of optimal portfolios are analysed under the classical expected utility theory (EUT) setup. Stochastic dominance and alternative risk measures are presented. The role of factor models is discussed and the two main types of equilibrium models ? CAPM and APT ? are derived and analysed. The course finishes discussing the limitations of the classical EUT setup and with an brief introduction into behavioural issues and prospect theory.
Programa
-Financial markets and their instruments -Definitions of risk and return -Two asset portfolios -The notion of efficient portfolios -Various market conditions: existence (or not) of a risk-free asset, possibility (or not) of (un)constrained short selling -Finding the efficient frontier -Factor models: single and multi-factor models -Utility theory and deriving investor?s utility function -Expected utility theory (EUT) and optimal portfolios -Stochastic Dominance -Risk Measures -Equilibrium models: capital asset pricing model (CAPM), arbitrage pricing theory (APT) -Market efficiency and rationality -Behavioural issues and alternatives to EUT
Método de Avaliação
Final exam (80% = written exam 50% + computer exam 30%) + Group Assignment (20%)
Carga Horária
Carga Horária de Contacto -
Trabalho Autónomo - 129.0
Carga Total -
Bibliografia
Principal
- Introductionto Mathematical Portfolio Theory: Joshi, M.S.,& Paterson,J.M 2013 Cambridge University
Secundária
- Modern portfolio theory and investment analysis: Elton, E.J.,Gruber, M.J.,Brown, S.J.,&Goetzmann, W.N. 2014 John Wiley & Sons, 9th edition