PORTFOLIO THEORY Lectures and Tutorials

Abstract

This Master's-level course provides a rigorous exploration of the theoretical underpinnings and empirical realities of modern investment analysis, beginning with the foundational principles of Modern Portfolio Theory (MPT). Students will delve deeply into the Mean Variance Framework, mastering the quantitative techniques for constructing optimal portfolios that seek to maximize expected return for a given level of risk. Building directly upon this foundation, the course critically examines the Capital Asset Pricing Model (CAPM), analyzing its derivation, its profound implications for the relationship between expected return and systematic risk, and its role as a cornerstone of asset pricing. A significant component of the curriculum is dedicated to the empirical validation of these seminal models, where students will engage with the body of scholarly evidence that both supports and challenges their predictions, fostering a sophisticated understanding of their practical applications and limitations in real-world financial markets.