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Universidade Federal do Rio Grande do SulFaculdade de EconomiaPrograma de Ps-graduao em EconomiaTeoria de Apreamento de AtivosProfessor: Nelson Seixas dos SantosAno: 2011Carga horria: 45h

DESCRIOApresentam-se formalmente os modelos bsicos de apreamento de ativos financeiros sob a gideunificadora da teoria de equilbrio geral sob incerteza. Por se tratar de um curso de introduo teoriaavanada de finanas, as evidncias empricas so mostradas apenas para o entendimento da evoluoterica, 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 damoderna teoria econmica; ao passo que, para os alunos de mestrado, espera-se que a disciplinaapresente 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 contedoapresentado seja vital para o entendimento dos problemas tericos em questo, no se poder escapar acerto rigor formal, deixando-se audincia parte do mencionado trabalho, que, para o realizar, deverapresentar em aula alguns dos artigos da rea.

OBJETIVOSApresentar formalmente os fundamentos tericos sobre os quais est construda a clssica teoria deapreamento de ativos financeiros tendo em vista particularmente a aplicao destes a modelos deestrutura a termo das taxas de juros.

CONTEDO PROGRAMTICOUnidade 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) ePliska (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

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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)

METODOLOGIAAulas expositivas, listas de exerccios e apresentao de artigos clssicos de finanas

CRONOGRAMA

Unidade Nmero de aulas

I 10

II 6

III 12

IV 17Total 45

BIBLIOGRAFIA RECOMENDADA

BsicaMas-Collel et al (1995), Pliska (1997), Duffie (2001) e Baxter and Rennie (1996)

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Barbosa, Fernando H. Microeconomia: teoria e modelos economtricos aplicados economiabrasileira. Rio de Janeiro: PNPE/IPEA, 1985.Black, Fischer.. Capital Market Equilibrium with Restricted Borrowing. Journal of Business. 45:3, 1972, pp.444-454.Black, Fischer; Myron Scholes. "The Pricing of Options and Corporate Liabilities". Journal of Political Economy81 (3), 1973, pp. 637-654Breenden, D. An Intertemporal Asset Pricing Model with Stochastic Consumption and InvestmentOpportunities. Journal of Financial Economics, 7, 1979, pp. 265-296.Campbell, J., A. Lo, and C. MacKinlay. The Econometrics of Financial Markets, Princeton, NJ:Princeton University Press, 1997.Campbell, J. Y.; J. Cochrane. Explaining the poor performance of consumption-based asset pricing models.Journal of Finance, 55(6), 2000, pp.28632878Cochrane, John H. Asset pricing. Princeton: Princeton University Press, 2005. Danthine, Jean-Pierre; John B. Donaldson. Intermediate Financial Theory. Burlington, MA: ElsevierAcademic Press, 2005. Duffie, Darrel. Dynamic asset pricing theory. Princeton University Press. 2001.

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Duffie, Darrell; William Zame, The Consumption-Based Capital Asset Pricing Model. Econometrica, Vol. 57,No. 6. (Nov., 1989), pp. 1279-1297.Elton, Edwin J.; Martin J. Gruber; Stephen J. Brown; William N Goetzmann. Modern Portfolio Theory andInvestment Analysis 6th ed, New York: John Wiley and Sons, 2002. Flavin, M. Excess volatility in the financial markets: A re-assessment of the empirical evidence. Journal of

Political Economy, 91, 1983, pp. 92956.Gollier, C. The Economics of Risk and Time. Cambridge, MA: MIT Press, 2001. Hansen, L.P; R. Jagannathan, , Implications of security market data for models of dynamic economies, Journalof Political Economy 99, 1991, pp.225262Huang C. and R. Litzenberger. Foundations for- Financial Economics Englewood Cliffs: Prentice- Hall, 1988.Ingersoll, J. Theory of Financial Decision Making. Savage, Maryland: Rowan & Littlefield,1987.Khmilevska, Nataliya. Intertemporal capital asset pricing model and MacroeconomicAnnouncements. Duke University, Department of Economics Job Market Paper, 2006. Disponvelemhttp://www.econ.duke.edu/~nlk3/Papers/paper%20October%2023%202006.pdf.Lengwiler,Yvan. Microfoundations of Financial Economics, Princeton: Princeton University Press, 2004. LeRoy, Stephen F.; Richard D. Porter. The present value relation: Tests based on implied variance bounds.Econometrica, 49, 1981, pp. 555574.

LeRoy, Stephen F.; Jan Werner. Principles of Financial Economics, Cambridge: Cambridge University Press.2005. Lintner, John. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios andCapital Budgets. Review of Economics and Statistics. 47:1, 1965, pp.13-37.Lo, Andrew W.;Jiang Wang. "Trading Volume: Implications of an Intertemporal Capital Asset PricingModel.The Journal of Finance 61 (6), 2006, pp. 28052840.Lucas, R. Asset prices in an exchange economy, Econometrica 46, 1978, pp.1426-1446.Mas-Colell, A; M. Whinston, and J. Green. Microeconomic Theory, New York: Oxford University Press,1995.Mehra, R. The equity premium puzzle: Why is it a puzzle? NBER Working Paper 9512, Week of February 17,2003. Disponvel em http://www.nber.org/papers/w9525.Mehra, R., and E. Prescott. The equity premium puzzle, Journal of Monetary Economics, 15, 1985, pp. 145-161.Merton, R. C. An intertemporal capital asset pricing model. Econometrica, 41, 1973, pp. 867887.Mossin, Jan. Equilibrium in a Capital Asset Market. Econometrica, Vol. 34, No. 4. (Oct., 1966), pp. 768-783.Neftci, S. N. An Introduction to the Mathematics of Financial Derivatives. San Diego: Academic Press, 1996.Pliska, Stanley R. Introduction to Mathematical Finance: discrete time models. Oxford: Blackwell Publishing,1997.Radner, R. Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets,Econometrica 40 (2), 1972, pp. 289-303Ross, Stephen. The arbitrage theory of capital asset pricing, Journal of Economic Theory, v13, issue 3, 1976, pp.341-360.Rubinstein, Mark. The valuation of uncertain income streams and the price of options, Bell Journal ofEconomics, 7, 1976, pp. 407-425.Samuelson, P. Lifetime portfolio selection by dynamic stochastic programming, Review of Economics andStatistics 51, 1969, pp. 239-246.Sargent, T., Dynamic Macroeconomic Theory, Cambridge, MA: Harvard University Press, 1987.Sharpe, William F. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal ofFinance. 19:3, 1964, pp. 425-442.Shiller, Robert J. Do stock prices move too much to be justified by subsequent changes in dividends? AmericanEconomic Review, 71, 1981, pp. 421436.Stokey, Nancy; Robert E. Lucas Jr. with Edward C. Prescott. Recursive Methods in Economic Dynamics.Cambridge: Harvard Univesity Press, 1989.