This course provides a rigorous panoramic analysis of the interplay between portfolio selection, asset pricing theory, and the empirical evidence. After a traditional discussion on risk aversion and mean-variance portfolio choice, we present the main asset pricing models (including the CAPM, multi-factor asset pricing models and Conditional Asset Pricing Models). A complete description of Investment Companies (mutual funds, hedge funds, among others) are presented, and the most relevant performance measures. Students will learn how to evaluate a portfolio or a portfolio manager using both the traditional and newest performance measures. Finally, the most relevant problems of the mean-variance model are presented and potential improvements of this traditional way to manage a portfolio. This course combine both theoretical foundations and practical exercises using real data from financial markets or mutual funds industry. The final module is entirely focused on sustainable finance, covering ESG in portfolio management and asset valuation models under ESG principles.
Professors of the Course:
1- David Moreno (Associate Professor Universidad Carlos III, PhD)