Browsing by Subject "Avaliação de ativos - Modelo (CCAPM)"

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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 ...