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.
Professors of the Course:
1- David Moreno (Associate Professor Universidad Carlos III, PhD)
2- David Cienfuegos, CAIA (Head of Investment, Willis Towers Watson)