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dc.contributor.advisorAlmeida, Caio Ibsen Rodrigues de
dc.contributor.authorGuimarães, Pedro Henrique Engel
dc.contributor.otherCosta, Carlos Eugênio da
dc.contributor.otherBraido, Luís Henrique Bertolino
dc.contributor.otherSantos, André Alves Portela
dc.contributor.otherGiovannetti, Bruno Cara
dc.date.accessioned2018-01-16T19:08:33Z
dc.date.available2018-01-16T19:08:33Z
dc.date.issued2017-07-28
dc.identifier.urihttp://hdl.handle.net/10438/19926
dc.description.abstractThis doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries including both Advanced Economies (AE) and Emerging Markets (EM). In the second article, we develop a general robust allocation framework that is capable of dealing with parametric and non parametric asset allocation models. In the final paper, I investigate portfolio selection criteria and analyze a set of portfolios out of sample performance in terms of Sharpe ratio (SR) and Certainty Equivalent (CEQ)eng
dc.language.isoeng
dc.subjectRisk aversioneng
dc.subjectModel uncertaintyeng
dc.subjectEquity premium puzzleeng
dc.subjectDetection error probabilityeng
dc.subjectCosts of model uncertaintyeng
dc.subjectAdvanced economieseng
dc.subjectEmerging marketeng
dc.titleThree essays on macro-finance: robustness and portfolio theoryeng
dc.typeThesiseng
dc.subject.areaFinançaspor
dc.contributor.unidadefgvEscolas::EPGEpor
dc.subject.bibliodataInvestimentospor
dc.subject.bibliodataRisco (Economia)por
dc.subject.bibliodataMercado financeiropor


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