Financial Markets and Investments (1 º Sem 2017/2018)
Program
The course starts with an overview on financial markets and their instruments ? Part I ? and then goes towards combinations of alternative investments and Modern Portfolio Theory (MPT).
MPT ? Part II ? is covered at a relatively high mathematical level. We formally derive efficient frontiers under various markets conditions and discuss the importance of factor models in determining the input parameters for MVT. Once the efficient frontier is set, the focus is on investor profiling and the choice of optimal portfolios under the classical expected utility theory (EUT) setup. Stochastic dominance and alternative risk measures are also presented.
In Part III the two main types of equilibrium models ? CAPM and APT ? are derived and analyzed. The course finishes discussing efficiency, rationality and the limitations of the classical EUT, including a brief introduction into behavioral issues and prospect theory.
MPT ? Part II ? is covered at a relatively high mathematical level. We formally derive efficient frontiers under various markets conditions and discuss the importance of factor models in determining the input parameters for MVT. Once the efficient frontier is set, the focus is on investor profiling and the choice of optimal portfolios under the classical expected utility theory (EUT) setup. Stochastic dominance and alternative risk measures are also presented.
In Part III the two main types of equilibrium models ? CAPM and APT ? are derived and analyzed. The course finishes discussing efficiency, rationality and the limitations of the classical EUT, including a brief introduction into behavioral issues and prospect theory.