Listagem FGV EPGE - Ensaios Econômicos por Assunto "Investimentos"

Itens para a visualização no momento 1-5 of 5

    • Distortions in the investment goods sector and productivity decline 

      Ferreira, Pedro Cavalcanti; Pessôa, Samuel de Abreu; Veloso, Fernando A.
      2014-08-14
      We study the impact of distortions in the investment goods sector on aggregate total factor productivity (TFP). We develop a two-sector neo-classical growth model in which TFP in the capital goods sector relative to TFP ...

    • Do higher moments really matter in portfolio choice? 

      Athayde, Gustavo M. de; Flôres Junior, Renato Galvão
      2004-12-01
      We present explicit formulas for evaluating the difference between Markowitz weights and those from optimal portfolios, with the same given return, considering either asymmetry or kurtosis. We prove that, whenever the ...

    • Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice 

      Athayde, Gustavo M. de; Flôres Junior, Renato Galvão
      2001-09-10
      Considering the three first moments and allowing short sales, the efficient portfolios set for n risky assets and a riskless one is found, supposing that agents like odd moments and dislike even ones. Analytical formulas ...

    • Introducing higher moments in the CAPM: some basic ideas 

      Athayde, Gustavo M. de; Flôres Junior, Renato Galvão
      1999-11-01
      We show how to include in the CAPM moments of any order, extending the mean-variance or mean-variance-skewness versions available until now. Then, we present a simple way to modify the formulae, in order to avoid the ...

    • Subadditive probabilities and portfolio inertia 

      Simonsen, Mario Henrique; Werlang, Sérgio Ribeiro da Costa
      1990