Portory Theory
Portfolio optimization techniques. Markowitz theory. Multi-factor models and its applications. Transaction costs. Performance measures. Theory of stochastic portfolios.
Basic Information
Workload
60 hours
Requirements
Quantitative Finance
Mandatory:
- Elton, Gruber, Brown e Goetzmann. Modern portfolio theory and investment analysis. Wiley.
- Litterman. Modern investment management. Wiley.
- Fernholz. Stochastic Portfolio Theory. Springer.
Complementary:
- Hull, J. (2014). Options, Futures and Other Derivatives. Pearson. 9° Edição.
- Björk. Arbitrage Theory in Continuous Time. Oxford Finance.
- Shreve. Stochastic Calculus for Finance Vol 2. Springer.
- Glasserman, P. (2003). Monte Carlo Methods in Financial Engineering. Springer.
- Etheridge. A Course in Financial Calculus. Cambridge.