Universidade Federal do Rio Grande do Sul Faculdade de Economia Programa de Ps-graduao em Economia Teoria de Apreamento de Ativos Professor: Nelson

Seixas dos Santos Ano: 2011 Carga horria: 45h DESCRIO Apresentam-se formalmente os modelos bsicos de apreamento de ativos financeiros sob a gide unificadora da teoria de equilbrio geral sob incerteza. Por se tratar de um curso de introduo teoria avanada de finanas, as evidncias empricas so mostradas apenas para o entendimento da evoluo terica, relegando-se seu estudo para uma outra disciplina. Nesse sentido, para os alunos de doutorado, pretende-se que a exposio se d como uma aplicao interessante e frtil dos fundamentos da moderna teoria econmica; ao passo que, para os alunos de mestrado, espera-se que a disciplina apresente um leve tom desafiador que os estimule a continuar,sem traumas, o aprofundamento dos estudos de finanas no doutorado. Portanto, embora o trabalho de interpretao do contedo apresentado seja vital para o entendimento dos problemas tericos em questo, no se poder escapar a certo rigor formal, deixando-se audincia parte do mencionado trabalho, que, para o realizar, dever apresentar em aula alguns dos artigos da rea. OBJETIVOS Apresentar formalmente os fundamentos tericos sobre os quais est construda a clssica teoria de apreamento de ativos financeiros tendo em vista particularmente a aplicao destes a modelos de estrutura a termo das taxas de juros. CONTEDO PROGRAMTICO Unidade I Economias com nico Perodo de Tempo 1. Informao e conhecimento: modelo bsico von Neuman and Morgenstern (1944), Savage (1954), Osbourne and Rubinstein (1994, chapter 5) e Mas-Colell et al (1995, chapter 6), Pliska (1997) 2. Prmios, apostas e preferncias Bernoulli (1738), Mas-Colell et al (1995, chapter 6), Gollier (2001, chapter 1), Ingersoll (1987, chapter 1) 3. Escolha: teorema da utilidade esperada Bernoulli (1738), von Neuman and Morgenstern (1944), Savage (1954) Mas-Colell et al (1995, chapter 6), Gollier (2001, chapter 1) 4. Averso a risco Pratt(1964), Mas-Colell et al (1995, chapter 6), Gollier (2001, chapter 2), ), Ingersoll (1987, chapter 1) 5. Escolha de carteiras timas de investimento - Markowitz (1952, 1959), Elton et al (2002), Cochrane (2005, chapters 5 and 6), Ingersoll (1987, chapter 4) 6. Mercados financeiros - Arrow (1953), Arrow-Debreu (1954) e Pliska (1997) 7. Apreamento de ativos por arbitragem: APT (Ross, 1976, 1978), Pliska (1997) 8. Apreamento de ativos por equilbrio: CAPM (Sharpe, 1964; Lintner, 1965; Black, 1972; Mossin, 1966) , Cochrane (2005, chapter 9), Ingersoll (1987, chapter 4) e Pliska (1997) Unidade II Economias com Mltiplos Perodos de Tempo Discreto 1. Informao e conhecimento: modelo bsico von Neuman and Morgenstern (1944), Savage (1954), Osbourne and Rubinstein (1994, chapter 5) e Mas-Colell et al (1995, chapter 6) e Pliska (1997) 2. Estratgias timas de investimento: modelo de Samuelson (1969), Duffie (2001), Ingersol (1987) 3. Mercados financeiros: Radner (1968, 1972), Mas-Colell et al (1995, chapter 19) e Pliska (1997) 4. Apreamento por arbitragem Duffie (2001, chapter 1) e Pliska (1997) 5. Apreamento por equilbrio: CCAPM (Rubinstein, 1976; Lucas, 1978), Duffie (2001), Pliska (1997) Unidade III - Economias com Mltiplos Perodos de Tempo Contnuo

1. Noes de clculo estocstico: processos, integrao, teorema de Cameron-Martin-Gyrsanov, equaes diferenciais e frmula de Feyman-Kac Baxter and Rennie (1996) e Neftci (1996) 2. Informao e conhecimento: modelo bsico von Neuman and Morgenstern (1944), Savage (1954), Osbourne and Rubinstein (1994, chapter 5) 3. Estratgias timas de investimento: Merton (1969, 1971) e Duffie (2001) 4. Mercados financeiros: Merton (1969, 1971 1973), Black-Scholes (1973) e Duffie (2001) 5. Apreamento por arbitragem: Black-Scholes (1973), Harrison-Kreps (1979), Harrison-Pliska (1981), Baxter and Rennie (1996) e Duffie (2001) 6. Apreamento por equilbrio: CCAPM (Breeden, 1979), ICAPM (Merton, 1973) e Duffie (2001) Unidade IV Modelos de Estrutura a Termo das Taxas de Juros 1. Cox, Ingersoll and Ross Baxter and Rennie (1996) 2. Heath, Jarrow e Morton - Baxter and Rennie (1996) 3. Ho and Lee - Baxter and Rennie (1996) 4. Vasicek - Baxter and Rennie (1996) 5. Hull and White - Baxter and Rennie (1996) METODOLOGIA Aulas expositivas, listas de exerccios e apresentao de artigos clssicos de finanas CRONOGRAMA Unidade I II III IV Total Nmero de aulas 10 6 12 17 45

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