Sumários

Asset Pricing Models

3 Abril 2025, 14:30 • Andrea Sofia Meireles Rodrigues

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.

Mid-Term Test

2 Abril 2025, 14:30 • Andrea Sofia Meireles Rodrigues

Revisions for the mid-term test.

Revision Q&A Session (Optional)

31 Março 2025, 15:00 • Andrea Sofia Meireles Rodrigues

Revision Q&A session (optional) for mid-term test preparation.

Asset Pricing Models

27 Março 2025, 14:30 • Andrea Sofia Meireles Rodrigues

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.

Factor Models of Security Returns

26 Março 2025, 14:30 • Andrea Sofia Meireles Rodrigues

Problem set 4.