Teaching Methodologies
Expository methodology, using practical examples to assimilate knowledge. Resolution of exercises in the practical component, aimed at
developing the students’ analytical spirit. Classes are all theoretical and practical. The development of competences will be enhanced by
simulation strategies.
Active student participation is strongly encouraged. As a student-centred method, financial topics will be discussed based on the students’
preferences and interests.
Learning Results
. To know what economic functions financial markets perform;
. Distinguish the different functions of each financial instrument taught;
. Understand how an initial public offering works;
. Know the valuation criteria for shares and bonds.
. Develop a research culture in the area of financial markets and portfolio management
At the end of the course, students should have developed the following skills:
. Understand how financial markets work;
. Discuss the problem of choosing asset portfolios, the relationship between profitability and risk, the importance of diversification;
. Understand the formation of equilibrium prices and the selection of optimal portfolios in a context of uncertainty.
. Discuss the problem of efficiency in financial markets.
. Characterize the different types of financial instruments;
. Place orders to buy and sell securities on the stock exchange;
. Apply valuation criteria for shares and bonds
Program
1. Introduction
1.1. The role of financial markets
1.2. The Organisation and Functioning of Capital Markets
1.3. Basic concepts of portfolio management
1.4. The Market Efficiency Hypothesis – Forms of efficiency and empirical tests
2. Portfolio Choice
2.1. The Markowitz model;
2.2. Determining the efficient frontier;
2.3. The simplified Sharpe model;
2.4. Financial market equilibrium and asset valuation.
2.5. The Capital Asset Pricing Model – CAPM
2.6. The problem of empirical validation and extensions to the model.
2.7. Arbitrage Pricing Theory
2.8. Cost of equity; Cost of borrowed capital and Weighted average cost of capital
3. Fundamentals of portfolio management
3.1. Passive Portfolio Management
3.2. Active Portfolio Management
3.3. Traditional Performance Indicators: Sharpe Ratio, M2, Treynor Ratio, Jensen’s Alpha and Appraisal Ratio
3.4. Selectivity and Market timing
Internship(s)
NAO
Bibliography
Bodie, Z., Kane, A. e Marcus, A. (2022). “Essentials of Investments” (International student edition), 12ª Edição, McGraw-Hill, ISBN 978-1-
265-45009-0.
Fernandes, A. L. C., Mota, P., Alves, C. e Rocha, M. (2022). “Mercados, Produtos e Valorimetria de Ativos Financeiros”, 4ª Edição,
Almedina, ISBN 978-989-40-0383-0.
Neves, E. M. e Quelhas, A. P. (2013). “Carteiras de Investimento”, Almedina, ISBN 978-972-40-5004-1.
Pinho, C., Soares, I. (2018). “Finanças – Mercados e Instrumentos”, 3.ª edição, Edições Sílabo, ISBN 978-972-618-977-0.
Pires, C. (2013). “Mercados e Investimentos Financeiros”, 3.ª edição, Escolar Editora, ISBN 9789725923122.
Oliveira, L., Laureano, L. e Inácio, P. L. (2019). “Finanças o Essencial – Volume 4 – Fundamentos dos mercados e dos ativos financeiros”,
Edições Sílabo, ISBN 978-972-618-988-6.