2025
Investiments in Financial Assets
Name: Investiments in Financial Assets
Code: GES12666M
6 ECTS
Duration: 15 weeks/156 hours
Scientific Area:
Management
Teaching languages: Portuguese
Languages of tutoring support: Portuguese
Sustainable Development Goals
Learning Goals
The main objective of this unit is to provide the student with a solid theoretical and empirical knowledge in the financial investments area. In addition, the students should be able to use this knowledge in the portfolio selection. The expected learning outcomes are the following ones:
Know how to analyze the portfolio selection problem;
Know the financial markets equilibrium models and the empirical tests of these models;
Know the financial assets evaluation models, namely for bonds and stocks;
Besides these specific objectives, this unit develops the following general competencies:
Ability to work in teams;
Decision making skills and ability to solve management problems;
Abstraction ability, model building and critical thinking;
Oral and written communication skills;
Capacity to conduct research.
Know how to analyze the portfolio selection problem;
Know the financial markets equilibrium models and the empirical tests of these models;
Know the financial assets evaluation models, namely for bonds and stocks;
Besides these specific objectives, this unit develops the following general competencies:
Ability to work in teams;
Decision making skills and ability to solve management problems;
Abstraction ability, model building and critical thinking;
Oral and written communication skills;
Capacity to conduct research.
Contents
1) Portfolio Theory
Portfolio characteristics
Diversification
Combination curve
Efficient portfolios
Decision under uncertainty
Optimal portfolio choice
Factors model
2) Capital Market Equilibrium Models and Efficiency
Capital Asset Pricing Model (CAPM)
CAPM extensions
Arbitrage Pricing Model APT
Relationship between CAPM and APT
Empirical tests of the equilibrium models
Tests of market efficiency
3) Stocks Valuation
Gordon-Shapiro Model
Multiple growth model
Estimation of future earnings and dividends
4) Bonds Valuation
Spot and forward interest rates
Bond Prices and spot rate
The term structure of interest rates
The risk structure of interest rates
Duration and convexity
Portfolio characteristics
Diversification
Combination curve
Efficient portfolios
Decision under uncertainty
Optimal portfolio choice
Factors model
2) Capital Market Equilibrium Models and Efficiency
Capital Asset Pricing Model (CAPM)
CAPM extensions
Arbitrage Pricing Model APT
Relationship between CAPM and APT
Empirical tests of the equilibrium models
Tests of market efficiency
3) Stocks Valuation
Gordon-Shapiro Model
Multiple growth model
Estimation of future earnings and dividends
4) Bonds Valuation
Spot and forward interest rates
Bond Prices and spot rate
The term structure of interest rates
The risk structure of interest rates
Duration and convexity
Teaching Methods
The sessions are theoretical and practical, combining the concepts with their application to concrete examples. The sections are supported by PowerPoint presentations but always with the use of the blackboard, namely to demonstrate results and to solve exercises. The active participation of students in is encouraged.
In the continuous assessment system, students have to do 2 group assignments and an exam. One of the assignments consists in determining the frontier of efficient portfolios for a set of risky assets. In the other assignment students have to make a critical review of one or several papers on a topic in the empirical financial investment literature. This assignment is intended to initiate students into research activities. The grade gives a weight of 15% to each practical group assignment, and 70% to the exam. In each of the assessment components the minimum grade is 7.5.
In the final evaluation system the grade is based exclusively on the exam grade.
In the continuous assessment system, students have to do 2 group assignments and an exam. One of the assignments consists in determining the frontier of efficient portfolios for a set of risky assets. In the other assignment students have to make a critical review of one or several papers on a topic in the empirical financial investment literature. This assignment is intended to initiate students into research activities. The grade gives a weight of 15% to each practical group assignment, and 70% to the exam. In each of the assessment components the minimum grade is 7.5.
In the final evaluation system the grade is based exclusively on the exam grade.
Assessment
In the continuous assessment system, students have to do 2 group assignments and an exam. In one assignment students have to determine the frontier of efficient portfolios for a set of assets with risk, using Excel's Solver and Solvertable tools, and discuss the generalization of portfolio theory to include other asset characteristics.
In the other assignment students have to critically review one or several papers on a topic in the empirical financial investment literature. This assignment is intended to initiate students into research activities.
The final grade gives a weight of 15% to each practical group assignment, and 70% to the exam. In each of the assessment components the minimum grade is 7.5.
In the final evaluation system the grade is based exclusively on the exam grade.
In the other assignment students have to critically review one or several papers on a topic in the empirical financial investment literature. This assignment is intended to initiate students into research activities.
The final grade gives a weight of 15% to each practical group assignment, and 70% to the exam. In each of the assessment components the minimum grade is 7.5.
In the final evaluation system the grade is based exclusively on the exam grade.
Teaching Staff (2024/2025 )
- Cesaltina Maria Pacheco Pires [responsible]
Certificações
