Now showing items 1-2 of 2

    • Dynamic hedging in Markov regimes 

      Monteiro, Wagner Oliveira
      2008-10-02
      This dissertation proposes a bivariate markov switching dynamic conditional correlation model for estimating the optimal hedge ratio between spot and futures contracts. It considers the cointegration between series and ...
    • Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil 

      Porto, Ricardo Lafayette Stockler Macintyre da Silva
      2010-05-26
      The Black-Litterman model calculates the expected market returns as a combination of a set of investor views and a neutral reference point. The model uses Bayesian approach to blend both sources of information. The results ...