Sumários

21 Abril 2026, 19:00 • Fernando Correia da Silva

Capital Asset Pricing Model (continued):

- CAPM applications: using the CAPM-implied required return to value risky cash flows.

- Economic interpretation: why beta is the relevant risk measure under the CAPM.

Consumption-based asset pricing:

- Linking financial markets to the real economy.

- The fundamental asset-pricing equation.

- Stochastic Discount Factor (SDF) approach.

- Deriving the Consumption Capital Asset Pricing Model (CCAPM) using the SDF approach.

21 Abril 2026, 17:30 • Fernando Correia da Silva

Capital Asset Pricing Model (CAPM):

- Motivation: from portfolio choice to equilibrium expected returns.

- CAPM assumptions.

- Systematic and unsystematic risk.

- Capital Market Line (CML) and Security Market Line (SML).

- Origin and estimation of betas: the characteristic line.

14 Abril 2026, 19:00 • Fernando Correia da Silva

Modern Portfolio Theory (cont.):

- Economy with N risky assets and a risk-free asset;

- Opportunity Set in Mean Variance Space;

- Mean-Variance frontier with N risky assets and 1 risk-free asset;

- Characterizing Portfolio Frontier and Efficient Frontier;

- Tangency portfolio and the efficient frontier with a risk-free asset.

14 Abril 2026, 17:30 • Fernando Correia da Silva

Modern Portfolio Theory:

- Economy with N risky assets;

- Opportunity Set in Mean Variance Space;

- Mean Variance frontier with N risky assets;

- Characterizing Portfolio Frontier and efficient Frontier.

24 Março 2026, 19:00 • Fernando Correia da Silva

Introduction to Modern Portfolio Theory

Canonical portfolio problem for N>1 under mean-variance preferences.

Correlation and diversification: where the gains come from.