Sumários

Models of Asset Returns

16 Abril 2026, 14:30 • Andrea Meireles

Problem set 4: Questions 3, 4, 5, and 6.

Single-factor models: overview, set-up, and assumptions. Single-index model: assumptions, expected return-beta relation, security variance decomposition, covariances, portfolio return and risk, diversification, data requirements, estimation, advantages and limitations.
Problem set 4: Questions 1 and 2.

Revision Q&A Session (Optional)

12 Abril 2026, 14:30 • Andrea Meireles

Optional revision Q&A session for the mid-term test (held via Teams).

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).