Investments and Portfolio Management
The course covers topics related to financial investments and portfolio management, including the organization and functioning of financial markets (money market, capital market, FOREX, derivatives,...), the fundamentals of fixed income instruments, equity valuation, derivative instruments, portfolio theory, asset pricing theory, the risk-return trade-off, market efficiency, measuring risk-adjusted performance, performance attribution and decomposition: asset selection and asset allocation, International diversification, multi-factor models and active portfolio management. A hands-on approach is used with real case studies and exercises.
Luís Vasco Lourenço Pinheiro
Weekly - Available soon
Total - Available soon
Portuguese. If there are Erasmus students, classes will be taught in English
Mathematical and quantitative backgrounds, advance knowledge of excel and interest in the financial markets.
-Bodie, Z., A. Kane and A. Marcus (1999). Investments. 4th Edition. New York: Irwin McGraw-Hill.
-Hull, John (2000).Options, Futures and Other Derivatives. 4th Edition. New York: Prentice Hall.
-Taleb, Nassim(2012). Antifragile: Things That Gain From Disorder. New York: Penguin Books.
Theory and practice will be part of the course. Some practical examples are taught in class, but others will be provided through homeworks.
The final grade of this curricular unit considers the grades of the homework's and the final exam according to the below criteria. Before the criteria details some important remarks:
- The criteria will apply to both, 1st and 2nd call examination period.
- The criteria assumes that students will attend the exams physically in the University, which could have the classical paper format or through an online exam, this also done in the University facilities.
- Final remark, in the case there is another lockdown or any special measures due to the Pandemic COVID-19 or other extraordinary event, which implies a contingency plan action and the need to change classes and exams all to online format, the criteria will suffer adjustments that will also be outlined in the first class of the semester.
Criteria of Final Grade, weighted average:
30% - Homework's (HWI- 15%, HWII- 15%);
70% - Exam, with a minimum of 7 points requirement, otherwise fail.
In addition to the minimum exam requirement, to be approved in the curricular unit, the final weighted average should be greater or equal than 10 points (scale from 1 to 20 points).
Note: Rounding procedure will only take place in the final weighted average number and not in the individual components of the evaluation!
LU1: Markets and conventions
- Understanding financial markets organization
- Foreign exchange market
- Market efficiency
- Exchanges versus over the counter (OTC)
LU2: Equity Valuation
- Financial ratios
- Discount models
LU3: Introduction to fixed income instruments
- Duration and convexity
- Yield curve
- Hedging risk
LU4: Portfolio Management
- Performance measures
- Portfolio theory
- Multi-factor models
- Active portfolio management
LU5: Introduction linear derivatives: futures and forwards
- Differences between futures and forwards
- Non arbitrage principle and cost of carry
- Payoff diagrams
LU6: Introduction to Swaps
- Interest Rate Swaps, Credit Default Swaps and Commodity Swaps
LU7: Introduction non-linear Derivatives: Vanilla options
- Definition of calls and put
- Basic concepts of valuation
- Payoff and P/L diagrams
- Options strategies
LU8: New Philosophies in Portfolio Management
- MiFID II
- PRIIPs (KIDs)
Programs where the course is taught:
- Specialization in Information Analysis and Management
- Specialization in Risk Analysis and Management
- Specialization in Knowledge Management and Business Intelligence
- Specialization in Information Systems and Technologies Management
- Specialization in Marketing Intelligence
- Specialization in Marketing Research and CRM
- Specialization in Knowledge Management and Business Intelligence – Working Hours Format
- Specialization in Information Systems and Technologies Management - Working Hours Format
- Specialization in Marketing Intelligence - Working Hours Format
- Post-Graduation in Information Analysis and Management
- Post-Graduation Risk Analysis and Management
- PostGraduate in Smart Cities
- PostGraduate in Data Science for Marketing
- PostGraduate in Digital Enterprise Management
- PostGraduate Digital Marketing and Analytics
- PostGraduate in Information Management and Business Intelligence in Healthcare
- Post-Graduation in Knowledge Management and Business Intelligence
- Post-Graduation Information Systems and Technologies Management
- Post-Graduation in Marketing Intelligence
- Post-Graduation Marketing Research e CRM
- PostGraduate in Enterprise Information Systems