Listagem por autor "Faria, Adriano"

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Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters

Faria, Adriano; Ornelas, Rafael Amaral; Almeida, Caio Ibsen Rodrigues de
2016-03-10

This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate ...
Forecasting the Brazilian term structure using macroeconomic factors

Almeida, Caio Ibsen Rodrigues de; Faria, Adriano
2014-03-26

This paper studies the forecasting of the Brazilian interest rate term structure using common factors from a wide database of 171 macroeconomic series, from the period of January 2000 to May 2012. Firstly the model proposed ...