Sumários
Asset Pricing Models
3 Abril 2025, 14:30 • Andrea Meireles
Multi-factor models of asset returns, factor categorisation, main uses and limitations.
Arbitrage pricing theory (APT), main assumptions, risk premia of well-diversified portfolios, application and testing, APT vs CAPM, Fama and French 3-factor model.
Revision Q&A Session (Optional)
31 Março 2025, 15:00 • Andrea Meireles
Revision Q&A session (optional) for mid-term test preparation.
Asset Pricing Models
27 Março 2025, 14:30 • Andrea Meireles
Capital asset pricing model (CAPM). Assumptions. Market portfolio. Capital market line (CML), market risk premium, and market price of risk. Beta coefficient and security market line (SML). Jensen's alpha and trading decisions. Testing, limitations, and extensions.