Sumários

Modern Portfolio Theory and Diversification

26 Março 2026, 14:30 • Andrea Meireles

Problem set 3: Questions 15(c) and (e)–(k).

Modern Portfolio Theory and Diversification

25 Março 2026, 14:30 • Andrea Meireles

Diversification: portfolios with multiple securities, decomposition of total portfolio risk into systematic risk and specific risk, well-diversified portfolios. Problem set 2: Question 16(c). Problem set 3: Questions 15(a), (b) and (d).

Modern Portfolio Theory and Diversification

19 Março 2026, 14:30 • Andrea Meireles

Markowitz model: optimal portfolio, and limitations.
Tobin model: assumptions and set up, risk-free asset and risk-free rate, expected return and risk (variance or standard deviation) of combined portfolios, capital allocation line (CAL), Sharpe ratio, global efficient frontier (GEF) and tangency portfolio, optimal complete portfolio, separation theorem.
Diversification: two-security portfolios with various correlation coefficients, diversification effect and diversification gain.

Modern Portfolio Theory and Diversification

18 Março 2026, 14:30 • Andrea Meireles

Markowitz model: assumptions and set up, investment decision factors, investment-related risks, portfolio value and relative weights, portfolio (expected) return and risk (variance/standard deviation), covariance and correlation, inputs, weight space, investment opportunity set, portfolio frontier, global minimum-variance portfolio (GMVP), Markowitz efficient frontier, simplifications in optimal portfolio choice, expected utility, and indifference curves.

Modern Portfolio Theory and Diversification

12 Março 2026, 14:30 • Andrea Meireles

Problem set 2 (questions 13 and 16(a)–(b)).
Return and risk. Holding period return (HPR). Expected return and variance (and standard deviation). Excess return and risk premium. Analysis of past rates of return. Historical returns. Skewness and kurtosis. Measures of risk: downside semi-variance, shortfall probability, value at risk (VaR), and expected shortfall (ES).