Sumários
Index Models
15 Março 2022, 11:00 • Rita Sousa
Single index model (SIM)
A single-index asset market
Decomposition of the return:
- the first and second moments using the model's components
- systematic and unique risk of an asset according to the SIM
Index models and diversification
The Capital Asset Pricing Model (CAPM)
10 Março 2022, 11:00 • Rita Sousa
CAPM in the money-management industry and in the capital budgeting decisions
Relax some of the CAPM assumptions
The CAPM and liquidity
Conclusions
Practice Questions
The Capital Asset Pricing Model (CAPM)
8 Março 2022, 11:00 • Rita Sousa
CAPM assumptions
Returns of asset and returns of the market
The Capital Market Line (CML)
Equilibrium in capital markets (CAPM)
The Security Market Line (SML)
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24 Fevereiro 2022, 11:00 • Rita Sousa
The Markowitz Portfolio Optimization Model
Risk Aversion and Utility Values
CAL and the Separation Property
Riskless security, Tobin (1958) model
Criticism of the mean-variance model
Summary of the topic
Practice Questions
Portfolio theory
22 Fevereiro 2022, 11:00 • Rita Sousa
Portfolio efficient frontier
Asset Allocation with Two Risky Asset Classes
Capital allocation line and Sharpe ratio, risk free asset
Weight of assets in the optimal risky portfolio (2 assets case)
Practical example and exercises