Base Knowledge
Knowledge of Mathematics of Finance and Risk Analysis.
Teaching Methodologies
Theoretical-practical classes. The expository method will be used, and the the exposition will be supported by a wide range of practical cases.
Learning Results
Main goals:
• Presentation of the fundamental concepts of portfolio theory and the most relevant models for the valuation of risky assets and investment portfolios.
• Discussion of the market efficiency hypothesis, as well as technical and fundamental analysis for the purpose of evaluating companies.
Skills:
Upon successful completion of this course, students should be able to:
• Understand the fundamental concepts of portfolio theory;
• Use risky asset valuation models and determine the respective risk factors;
• Understand the market efficiency hypothesis, as well as its implications for the theory of finance;
• Distinguish between technical analysis and fundamental analysis and evaluate companies and assets based on the indicated methodologies.
• Take into consideration other possibilities of investment than those of financial markets, mainly real estate investment.
Program
I. INTRODUCTION TO PORTFOLIO MANAGEMENT
Financial instruments
Characteristics of the main financial assets
Real estate assets
Risk and risk premiums
II. PORTFOLIO THEORY
Profitability/Risk Binomial
Return and risk of a portfolio
Diversification
Risk profiles
Efficient portfolios
Determination of the efficient frontier
III. ASSET VALUATION THEORIES
Capital Asset Pricing Model (CAPM)
Extensions to CAPM
Arbitration Theory (APT)
Factor Pricing Models
Systematic and unsystematic risk
IV. EFFICIENCY OF FINANCIAL MARKETS
Efficiency degrees and empirical evidence
Technical analysis
Fundamental analysis
Behavioural finance
Curricular Unit Teachers
Internship(s)
NAO
Bibliography
BODIE, Z., KANE, A. and MARCUS, A. (2004), Investments, 6 ed, McGraw-Hill
ELTON, E. J., GRUBER, M. J., BROWN, S. J. e GOETZMANN,W. N. (2002), Modern Portfolio Theory and
Investment Analysis, 6 ed, JW & Sons
FAMA, E. (1970), Efficient capital markets: a review of theory and empirical work, Journal of Finance, 25, p. 383-
417
MARKOWITZ, H. (1991), Portfolio Selection: Efficient Diversification of Investments, JW & Sons
MARTINS, A. e FERNANDES, C. (2003), A Teoria Financeira Tradicional e a Psicologia dos Investidores: Uma
síntese, Boletim de C.Económicas, XLVI, p. 193-284
MURPHY, J. J. (1999), Technical Analysis of the Financial Markets, New York Institute of Finance
QUELHAS, Ana P. e QUELHAS, José M. (2011), Da improficiência dos modelos de avaliação de activos – riscos
emergentes ou incerteza sistemática?, Separata Boletim C.Económicas Fac. Direito U.Coimbra, vol. LIII, 2010, p.
42
SHLEIFER, A. (2003), Inefficient markets: An Introduction to Behavioral Finance, Oxford Un. Press
Obs.: the references that will serve as a basis for practical works will be provided at the 1st session of each edition,