Browsing FGV EESP - Textos para Discussão / Working Paper Series by Author "Tenani, Paulo Sérgio"

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    • The capital asset pricing theory and its misconceptions 

      Tenani, Paulo Sérgio
      2016
      The CAPM is the fundamental model for pricing financial securities. Nevertheless, the way it is proved in Finance textbooks can be fairly confusing, and more complicated than necessary; with an excessive use of figures at ...

    • Inflation bias in Latin America 

      Pacheco, André Sanchez; Tenani, Paulo Sérgio
      2016
      This paper accesses the presence of inflation bias in major Latin American Economies over the past decade. Using a small-scale New Keynesian DSGE model and Bayesian Techniques, the time-varying neutral rate of interest is ...

    • Reinterpreting the mutual fund theorem: the risk portfolio as a tactical overlay 

      Tenani, Paulo Sérgio
      2017
      The Mutual Fund Theorem is an elegant way of describing how investors with different attitudes towards risk should construct their portfolios. It is, however, often misinterpreted. This paper revisits the topic by defining ...

    • Revisiting modern portfolio theory 

      Tenani, Paulo Sérgio
      2016-05-30
      This paper revisits Modern Portfolio Theory and derives eleven properties of Efficient Allocations and Portfolios in the presence of leverage. With different degrees of leverage, an Efficient Portfolio is a linear combination ...