Sumários

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).

Modern Portfolio Theory and Diversification

11 Março 2026, 14:30 • Andrea Meireles

Problem set 2 (questions 9, 10, 11, and 12).
Nominal rates, inflation rate, and real rates; Fisher equation. Annual percentage rate (APR) and effective annual rate (EAR).

Decision Making Under Risk

5 Março 2026, 14:30 • Andrea Meireles

Conventional finance vs. behavioural finance. Biases: cognitive (e.g., confirmation, conservatism, control, representativeness, overconfidence, anchoring, availability) and emotional (e.g., framing, mental accounting, loss aversion, endowment, self-control, status quo, regret avoidance). (Cumulative) Prospect theory: reference dependence, S-shaped value function, and probability distortion functions. Behavioural explanations of anomalies (e..g, momentum and reversal effects, value premium, bubbles and crashes). Limits to arbitrage. Empirical experiments. Problem set 2 (questions 1 to 8).