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, portfolio theory and derivative instruments. A hands-on approach is used with case studies and illustrative exercises.
Luís Alberto Ferreira de Oliveira
Weekly - Available soon
Total - Available soon
Portuguese. If there are Erasmus students, classes will be taught in English
The course requires some preliminary knowledge, such as basic financial calculus and basic financial quantitative backgrounds (markets, instruments, net present value and compounding, ¿), advance knowledge of excel and basics in the financial market¿s conventions.
Bodie, Z., A. Kane, and A. Marcus, ¿Investments¿, McGraw-Hill, 10th edition, 2020.
Hull, J., ¿Options, Futures and Other Derivatives¿, Pearson, 10th edition, 2017.
Fabozzi, F. ¿Fixed Income Analysis¿, Wiley 2nd edition, 2007.
Elton, E., M. Gruber, S. Brown, W. Goetzmann, ¿Modern Portfolio Theory and Investment Analysis¿, 9thedition, 2014.
Oliveira, L., L. Laureano, P. Inácio. Mercados e Instrumentos Financeiros: Fundamentos dos mercados e dos ativos financeiros, Sílabo, 1st edition, 2019.
Theory and practice will be part of the course. Some practical examples are taught in class, but others will be provided through homework study and practice.
The final grade of this curricular unit considers 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 be outlined.
The minimum exam requirement to be approved in the curricular unit should be greater or equal than 10 points (scale from 1 to 20 points).
LU1: Introduction, markets and conventions
Understanding financial markets organization
Capital markets, interbank money market and the foreign exchange market
Exchanges versus over the counter (OTC)
LU2: Fixed income instruments
Bonds: The general valuation model
Yield curve and its representations
Bootstrapping: simple way to infer the term structure of interest rates
Return measures: yield to maturity and the internal rate of return
Interest rate risk: Duration and convexity
Floating rate notes: cash flows, credit risk and indexation, and valuation
LU3: Stock valuation
Dividend discount model
Relative Valuation: PER and PBV
LU4: Portfolio Management
Portfolio theory: the Markowitz model
Riskless assets: the global efficient frontier
CAPM: estimating the model parameters ¿ SIM and MM
LU5: Introduction linear derivatives: futures and forwards
Linear derivatives: futures and forwards
Non-linear derivatives: options
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- 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
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- Post-Graduation Risk Analysis and Management
- PostGraduate in Smart Cities
- PostGraduate in Digital Enterprise Management
- PostGraduate in Information Management and Business Intelligence in Healthcare
- Post-Graduation in Knowledge Management and Business Intelligence
- Post-Graduation Information Systems and Technologies Management
- PostGraduate in Enterprise Information Systems