Teoria do Investimento

Describe the characteristics of forwards, futures, options and swaps and of the markets in such investments and of the main investment assets and of the markets in such assets.

Use the Capital Asset Pricing Model and or a multifactor model to calculate the required return on a particular asset, given appropriate inputs, and hence calculate the value of the asset. Explain the concepts of: efficient market, complete market, no-arbitrage, hedging.

Apply the risk-neutral or state price deflator approaches to valuing derivative securities and apply them. Use the properties of various stochastic models of the term structure of interest rates. Explain the limitations of the models described above and describe attempts to address them.

Use mean-variance portfolio theory to calculate an optimum portfolio and describe the limitations of this approach. Use mean-variance portfolio theory to calculate the expected return and risk of a portfolio of many risky assets, given appropriate inputs.