Sumários

Factor Models of Security Returns

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

Single-factor models. Single-index model. Expected return-beta relation. Security variance decomposition, and covariances. Portfolio return and risk. Diversification. Data requirements and estimation. Advantages and limitations.

Modern Portfolio Theory

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

Diversification. Two-security portfolios with various correlation coefficients. Diversification effect and diversification gain. Portfolios with multiple securities. Decomposition of total portfolio risk into systematic risk and specific risk. Problem set 3.

Modern Portfolio Theory

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

Tobin model: global efficient frontier, tangency portfolio, optimal complete portfolio, separation theorem.
Problem set 3.

Modern Portfolio Theory

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

Markowitz model: assumptions, portfolio (expected) return and risk (variance/standard deviation), investment opportunity set, portfolio frontier, global minimum-variance portfolio, Markowitz efficient frontier, expected utility, optimal portfolio, and limitations.
Tobin model: assumptions, risk-free asset, expected return and risk of combined portfolios, capital allocation line (CAL).

Return and Risk

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

Nominal rates, inflation rate, and real rates. APR vs. EAR. HPR. Expected return and variance (and standard deviation). Excess return and risk premium. Analysis of past rates of return. Skewness and kurtosis. Measures of risk: downside semi-variance, shortfall probability, value at risk (VaR), and expected shortfall (ES).