Now showing items 1-9 of 9

    • Canal de crédito para o Brasil : uma avaliação empírica 

      Bogado, Pedro Rangel
      The identification problem of supply and demand equations for testing the bank lending channel has been discussed in recent decades. This work evaluates the identification strategy carried out in a VECM setting to determine ...
    • CAPM estendido para momentos superiores : um teste empírico 

      Guedes, Ricardo Brito
      The inclusion of higher moments in CAPM has been discussed in recent decades. This work performs an empirical test of the model extended to the third and fourth moments, in which the skewness and kurtosis are also priced. ...
    • A CAPM with higher moments: theory and econometrics 

      Athayde, Gustavo M. de; Flôres Junior, Renato Galvão
      We develop portfolio choice theory taking into consideration the first p~ moments of the underIying assets distribution. A rigorous characterization of the opportunity set and of the efficient portfolios frontier is given, ...
    • Do higher moments really matter in portfolio choice? 

      Athayde, Gustavo M. de; Flôres Junior, Renato Galvão
      We present explicit formulas for evaluating the difference between Markowitz weights and those from optimal portfolios, with the same given return, considering either asymmetry or kurtosis. We prove that, whenever the ...
    • Duration: novas considerações 

      Athayde, Gustavo M. de
    • Estimando os fatores da ETTJ implícitos nos derivativos de juros: uma abordagem forward-looking 

      Athayde, Gustavo M. de
      Usando uma parametrização simples do modelo HJM, é desenvolvido um arcabouço teórico que além de entregar soluções analíticas fechadas para as opções de DI e FRA-DI, permite-nos enxergar através de uma geometria tridimensional ...
    • Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice 

      Athayde, Gustavo M. de; Flôres Junior, Renato Galvão
      Considering the three first moments and allowing short sales, the efficient portfolios set for n risky assets and a riskless one is found, supposing that agents like odd moments and dislike even ones. Analytical formulas ...
    • Introducing higher moments in the CAPM: some basic ideas 

      Athayde, Gustavo M. de; Flôres Junior, Renato Galvão
      We show how to include in the CAPM moments of any order, extending the mean-variance or mean-variance-skewness versions available until now. Then, we present a simple way to modify the formulae, in order to avoid the ...
    • On certain geometric aspects of portfolio optimisation with higher moments 

      Flôres Junior, Renato Galvão; Athayde, Gustavo M. de
      We discuss geometric properties related to the minimisation of a portfolio kurtosis given its first two odd moments, considering a risk-less asset and allowing for short sales. The findings are generalised for the minimisation ...