Currículo

Instrumentos e Mercados Financeiros IMFIN

Contextos

Groupo: Mathematical Finance > 2º Ciclo > Parte Escolar > Unidades Curriculares Obrigatórias

ECTS

7.5 (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. 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