Teaching Methodologies
Classes are theoretical-practical in nature, initially using the lecture method, followed by the resolution of a series of practical cases with a
strong connection to reality. Nevertheless, even in the expository phase, the active involvement of students is promoted at various points in
the learning process.
In addition, students are asked to carry out autonomous work by critically reading recently published scientific articles, and conducting
additional research into the themes explored in these articles.
Learning Results
The aim of this course is for students to:
– understand the premises in which traditional financial theory is based on, namely the concept of the rational investor and the efficient
markets hypothesis;
– know the essential contributions of traditional financial theory to portfolio management, especially Modern Portfolio Theory and the Capital
Asset Pricing Model;
– discuss the critical vision provided by behavioural finance;
– consider the fundamental principles to be consider when it comes to composing investment portfolios;
– explore, from a comparative perspective, the various performance evaluation measures;
– come into contact with the latest research practices in portfolio management.
The proposed syllabus, as well as the teaching methodology adopted – a mix of exposition of content and application of knowledge – will
enable the fulfilment of these objectives and the acquisition of these competences by the students.
Program
1. Portfolio Theory: Markowitz model
Return/risk
Diversification
Attitudes to risk
Efficient portfolios
The efficient frontier
2. Equilibrium models
The market model (regression and composition)
Capital Asset Pricing Model (CAPM)
Arbitrage theory (APT)
Factor Pricing Models
3. The efficiency of financial markets
Degrees of efficiency and empirical evidence
4. The contribution of behavioural finance
Cognitive biases and heuristics
Herd behaviour
Prospect Theory
5. The constitution of portfolios
Characteristics of different asset classes
Risk models and portfolio construction: asset allocation, diversification and appropriate benchmarks
Passive and active management
Stock selection
Portfolio tracking and exploiting anomalies
6. Performance evaluation
Calculating profitability
Internal rate of return
Time-weighted and money-weighted performance indicators
Hybrid methodologies
Sharpe, Treynor and Jensen measures
Portfolio risk adjustment
Benchmarks
Internship(s)
NAO
Bibliography
BIBLIOGRAFIA FUNDAMENTAL:
Bodie, Z., Kane, A. & Marcus, A. J. (2023). Investments. McGrawwHill, 13.ª edição.
Elton, E. J., Gruber, M. J., Brown, S. J. & Goetzmann, W. N. (2014). Modern Portfolio Theory and Investment Analysis, John Wiley and
Sons, Inc, 9.ª edição.
Lobão, J. (2020). Finanças Comportamentais – quando a Economia encontra a Psicologia. Actual Editora, 2.ª edição.
Neves, M. E. & Quelhas, A. P. (2013). Carteiras de Investimento – Gestão e Avaliação do Desempenho. Coimbra, Amedina.
Quelhas, A. P. (2017). Finanças Comportamentais, texto de apoio às aulas.
BIBLIOGRAFIA COMPLEMENTAR:
Thaler, R. (2015). Misbehaving: the Making of Behavioural Economics. Penguin.