Roberto Gutierrez


Associate Professor of Finance
Lundquist College of Business
1208 University of Oregon
Eugene, OR 97403

rcg@uoregon.edu
541 346 3254



FIN 380 Investments



Tradeoff between risk and return. Benefits of diversification. Passive versus active investing. Fair discount rates for the valuation of future cash flows. Models of expected returns. Performance evaluation.


We examine the mechanics of portfolio diversification. Then construct a starter model of expected returns given risk, which is the CAPM. Reviewing the testing of the CAPM over the decades offers insights into how complex asset pricing can be. How should we better define priced risk? Have investors systematically made valuation errors historically? How limited is the backtesting we can do? We end the course evaluating the historical performances of active mutual funds.



FIN 462/562 Derivatives



Payoffs of forwards, futures, and options are examined. No-arbitrage valuation. Binomial and Black-Scholes pricing models. Uses of derivatives.


In contrast to how we value non-derivative assets, the valuation of derivative assets relies on replicating the security's payoffs using the underlying asset and a riskless bond. The value of the replicating portfolio is the fair value of the derivative. This approach sidesteps the need for forecasting cash flows and determining a risk-adjusted discount rate, as is done when valuing non-derivative assets.


Why do firms and investors use derivatives? They want to manage their risk exposures. We examine how derivatives alter the risk-return profile of the underlying asset. We also discuss the potential reasons stock option prices have historically deviated from the Black-Scholes model.



FIN 610 Advanced Topics in portfolio management



Extend your knowledge of several tasks and concepts that investment analysts commonly encounter in practice, which can be categorized broadly as risk management and performance evaluation. Investment teams need to be aware of the magnitudes and types of risks that a portfolio is exposed to, how much exposure is desired, how well a particular strategy has performed, and the drivers of that performance.


The main deliverable is a group research project. The most popular project examines four years of stock transactions by a real hedge fund. Assess the performance of the fund, and recommend whether your asset management firm should hire this fund.




FIN 683 Investments



This is the masters-level version of the topics examined in FIN 380.



FIN 607 Asset Pricing II



Second course in PhD sequence on asset pricing, focusing on empirical testing of asset-pricing models, interpretations of the literature's findings, and their applications. The collection of subjects can be broadly characterized as: empirical asset pricing, market efficiency, behavioral finance, trading strategies, and performance evaluation. This is a starting point for continued learning.