Sumários
Revision Q&A Session (Optional)
20 Maio 2025, 18:30 • Andrea Sofia Meireles Rodrigues
Revision Q&A session (optional) for final test/exam preparation.
Treynor-Black Model
29 Abril 2025, 17:00 • Andrea Sofia Meireles Rodrigues
Active portfolio management and security analysis. Treynor-Black model: set up and assumptions, optimal risky portfolio, Sharpe ratio, and constraints.
Problem set 7.
International Diversification
29 Abril 2025, 15:30 • Andrea Sofia Meireles Rodrigues
Global markets for equities: developed vs. emerging, market capitalisation and GDP. Home-country bias. Exchange rate risk and (covered or uncovered) interest rate parity; political risk. International diversification.
Problem set 6.
Portfolio Performance Evaluation and International Diversification
10 Abril 2025, 14:30 • Andrea Sofia Meireles Rodrigues
Portfolio performance. Average portfolio return: time-weighted rate of return and money-weighted rate of return. Risk-adjusted performance measures: Sharpe ratio, Treynor measure, Jensen's alpha, information ratio, M2 measure, Sortino ratio; which measure is appropriate; role of alpha.
International diversification. Global markets for equities: developed and emerging; market capitalisation and GDP. Issues: home-country bias and factors.