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Ensaios sobre a dinâmica em finanças
This thesis is divided in two chapters. The first chapter entitled 'The Dynamics of the Dynamic Hedging' derives an optimal hedging ratio in a dynamic discrete-time stochastic setting allowing for margin requirements. Then, ...
Uma abordagem integrada para a gestão da liquidez e alocação de recursos no curto prazo em bancos comerciais
This work develops an integrated model for optimal asset allocation in commercial banks that incorporates uncertain liquidity constraints that are currently ignored by RAROC and EVA models. While the economic profit accounts ...
Saving-capm: uma proposta de solução para o equity premium puzzle do consumption-capm
In 1985 Mehra and Prescott raised a question that has not been answered satisfactorily: the equity premium of American shares is much higher than it could be explained by the 'neoclassical paradigm of financial economics' ...