Listagem FGV EESP - Textos para Discussão / Working Paper Series por Assunto "Investimentos"
Itens para a visualização no momento 1-9 of 9
-
Análise da estrutura de dependência da volatilidade entre setores durante a crise do subprime
2012-09-12Este estudo testa a hipótese de contágio entre setores da economia dos Estados Unidos durante a crise do Subprime. A metodologia econométrica baseia-se em modelos de correlações condicionais dinâmicas e na aplicação de ... -
Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching
2018-03Asset allocation is important for diversifying risk and realizing gains in the financial market. It involves decisions taken under uncertainty based on statistical methods. Returns on financial assets generally present ... -
Attention and biases: evidence from tax-inattentive investors
2020-02Using bunching induced by a policy notch for identfication, wefirst provide evidence of investor inattention to a very simple and well-known capital-gains tax exemption in the Brazilian stock market. We then show that ... -
Criação de valor para o acionista: o caso da Rede Globo, uma companhia fechada
2019-01Desenvolve-se um exercício de mensuração de criação de valor para o acionista, mediante a comparação entre retorno do investimento em ativos e custo médio ponderado de capital, para uma companhia fechada brasileira, a Globo ... -
Reinterpreting the mutual fund theorem: the risk portfolio as a tactical overlay
2017The 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
2016-05-30This 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 ... -
Uncertainty times for portfolio selection at financial market
2018-03The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model ...
