Browsing Produção Intelectual em Bases Externas by Subject "Ativos financeiros de renda fixa"

Now showing items 1-3 of 3

    • Equilibrium with default and endogenous collateral 

      Araújo, Aloísio Pessoa de; Orrillo, J.; Pascoa, Mario Rui
      2000-01
      We study a two-period general equilibrium model with incomplete asset markets and default. We make collateral endogenous by allowing each seller of assets to fix the level of collateral. Sellers are required to provide ...

    • Immunization of fixed-income portfolios using an exponential parametric model 

      Almeida, Caio Ibsen Rodrigues de; Lund, Bruno
      2014-11-14
      Litterman e Scheinkman (1991) mostram que mesmo uma carteira de renda fixa duration imunizada (neutra) pode sofrer grandes perdas e, portanto, propõem fazer hedge de carteiras utilizando a análise de componentes principais. ...

    • Performance of fixed income funds in brazil: market timing and style analysis 

      Oreng, Mariana Aparecida Calabrez; Eid Júnior, William; Yoshinaga, Claudia Emiko
      2017-12
      This study investigates whether managers of Fixed Income Brazilian funds exhibit market-timing abilities and what are the main components driving a fund's return. Measuring timing ability of Fixed Income funds' managers ...