Portfolio Selection of Financial Assets

Recommended Prerequisites

It is required a good background on Statisticas and Probabaility at the  1st cycle level, being advantageous if the studend has followed a 2nd degree course on these subjects.

Teaching Methods

Theoretical exposition accompanied by quantified examples and applications to be made by students.

Learning Outcomes

It is expected that the student becomes acquainted with the methods of determination of portfolios expected return and risk, performance measures and the use of methods of optimization on the selection of efficient potfolios.

Work Placement(s)

No

Syllabus

1- The mean-variance model and the value-at-risk method

2- The measures of performance of financial assets

3- The determination of the efficient frontier

4-  CAPM and other Asset Pricing Models

5- Portfolio selection based on the expected utility approach

6- The attitudes towards risk and the utility functions

Head Lecturer(s)

José Alberto Soares da Fonseca

Assessment Methods

Assessment
Periodic or by final exam as given in the course information: 100.0%

Bibliography

Benninga, S., Financial Modeling, 2nd Edition, MIT Press, 2000.

Elton, E., Gruber, M.,  Brown, S. and Goetzmann, W., Modern Portfolio Theory and Investment Analysis, Ed 9^th, J. Wiley & Sons, 2014.

Ingersoll, J., Theory of Financial Decision Making, Ed. Rowman and  Littlefield Publishers, 1987.

Lim, K., Financial Valuation and Econometrics, Ed. World Scientific, 2014.

Markowitz. H., Mean-Variance Analysis in Portfolio Choice and Capital Markets, Ed. Basil Blackwell, 1987.