Sumários
Modern Portfolio Theory
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.
Portfolio choice
24 Março 2026, 17:30 • Fernando Correia da Silva
Portfolio
Choice.
Canonical
portfolio choice problem.
Comparative
statics of the optimal portfolio choice: the role of risk aversion and initial
wealth.
Risk aversion
17 Março 2026, 19:00 • Fernando Correia da Silva
Arrow-Pratt
measures of risk aversion.
Interpretation
of absolute risk aversion and relative risk aversion.
Exercise practice:
exercise 1.8 from the Exercise Book.
Important
utility functions: exponential utility; power utility; log utility; quadratic
utility.
Taylor series
expansion expected utility.
Risk aversion
17 Março 2026, 17:30 • Fernando Correia da Silva
Fair
gambles.
Risk
aversion: definition and intuition.
Jensen’s
inequality and utility concavity.
Certainty
equivalent and risk premium.
Exercises:
1.5 and 1.7 from the Exercise Book.
Choice Theory
10 Março 2026, 19:00 • Fernando Correia da Silva
Choice: dominance rules, preferences,
utility function, expected utility.