Teaching
Investments
Finanças I — Professional Master's in Economics
An SDF-first master's investments course: everything is built from one equation, price equals expected discounted payoff, p = E[mx], and every named model, whether the CAPM or the term structure, is a different answer to the question "what is the discount factor?" Roughly half unifying theory, half the applied canon, with Python labs on free data.
Topics
- Prices, payoffs, and the discount factor
- The consumption-based SDF, risk, and preferences
- The Markowitz mean-variance frontier and the CAPM as a special SDF
- Factor models for risk and for expected returns; regression tests of the cross-section
- Performance evaluation of managers and strategies
- Fixed income, derivatives, and state prices
- Efficiency and predictability
Audience
Professional master's students comfortable with statistics; methods ceiling is deliberately OLS, with clearly flagged PhD hints.
Materials
A ~514-page course book, nine session decks plus five recorded primer decks, Python labs, online quizzes, and two group coding projects.
The methods ceiling is deliberately OLS: time-series alphas, cross-sectional and Fama-MacBeth regressions, the GRS test, with GMM, MLE, and stochastic calculus appearing only as clearly flagged PhD hints. Five recorded primer decks (math, utility, fixed income, valuation, general equilibrium) bring students up to speed before the course begins.