Portory Theory

Portfolio optimization techniques. Markowitz theory. Multi-factor models and its applications. Transaction costs. Performance measures. Theory of stochastic portfolios.

Basic Information

Workload
45 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.