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Estratégias de diversificação de carteiras de ações com dependência assimétrica; Strategies to diversify portfolios with asymmetric dependence

Bergmann, Daniel Reed
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 04/03/2013 Português
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36.56%
DeMiguel, Garlappi e Uppal (2009) fizeram a comparação da regra 1/N ou de Talmud com 14 modelos de otimização que vieram depois do trabalho de Markowitz (1952). As conclusões mostraram que todos os modelos de alocação ótima analisados tiveram um desempenho inferior ao da regra de Talmud. Tu e Zhou (2011) propuseram uma combinação entre Markowitz e Talmud para que tal modelo superasse Talmud. Os resultados obtidos foram satisfatórios. A desconsideração dos eventos extremos (dependência assimétrica ou caudal) durante o processo de construção de carteiras poderá diminuir as habilidades dos gestores de ativos em reduzir o risco através da diversificação. A modelagem de cópulas sobre os retornos dos ativos nos permite calcular uma alternativa para medir a dependência dos ativos em eventos extremos através do índice de dependência caudal inferior. Hatherley e Alcock (2007) relataram que o modelo de Markowitz tende a subestimar as perdas potenciais que venham a ocorrer na presença de eventos extremos de mercado (crashes) para um determinado nível de retorno esperado. Verificamos se as estratégias com dependência caudal superaram Talmud, o modelo de Markowitz e o modelo de Tu e Zhou (2011) através da simulação de 1.000 carteiras com 3...

Alocação de recursos: nível ótimo de diversificação intraclasse entre fundos de investimentos abertos no Brasil

Duba, Tiago Lacerda Nader
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
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36.46%
Apesar da diversidade de suas estratégias, os retornos dos fundos de investimentos multimercado geralmente exibem correlação positiva com índices de bolsa. Por outro lado, fundos de categorias distintas tendem a ser menos correlacionados entre si se comparados a fundos de mesma categoria. A ideia de diversificação entre fundos de baixa correlação é discutida recorrentemente pela literatura. Na prática, porém, poucos alocadores de portfólios otimizam suas carteiras através das linhas de Markowitz (1953) por exemplo. O objetivo deste estudo é buscar identificar o ponto ótimo de diversificação de ativos (fundos de investimentos) dentro de uma mesma categoria. Como metodologia, buscaremos a minimização do risco idiossincrático dos fundos de investimentos através de simulações com outros fundos de mesma categoria. O estudo contém análises para a escolha do número ideal de ativos em um dado portfólio. Esses resultados beneficiariam, principalmente, o processo decisório das empresas de Wealth Managements, das Consultorias de Investimentos e dos Private Bankers.; Despite the diversity of their strategies, the returns of hedge funds generally exhibit a positive correlation with stock index. On the other hand...

How Does Bank Competition Affect Systemic Stability?

Anginer, Deniz; Demirguc-Kunt, Asli; Zhu, Min
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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46.72%
Using bank level measures of competition and co-dependence, the authors show a robust positive relationship between bank competition and systemic stability. Whereas much of the extant literature has focused on the relationship between competition and the absolute level of risk of individual banks, they examine the correlation in the risk taking behavior of banks, hence systemic risk. They find that greater competition encourages banks to take on more diversified risks, making the banking system less fragile to shocks. Examining the impact of the institutional and regulatory environment on systemic stability shows that banking systems are more fragile in countries with weak supervision and private monitoring, with generous deposit insurance and greater government ownership of banks, and public policies that restrict competition. Furthermore, lack of competition has a greater adverse effect on systemic stability in countries with low levels of foreign ownership, weak investor protections, generous safety nets...

Unexploited Gains from International Diversification : Patterns of Portfolio Holdings around the World

Didier, Tatiana; Rigobon, Roberto; Schmukler, Sergio L.
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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36.9%
This paper studies how portfolios with a global investment scope are allocated internationally using a unique micro dataset on U.S. equity mutual funds. While mutual funds have great flexibility to invest globally, they invest in a surprisingly limited number of stocks, around 100. The number of holdings in stocks and countries from a given region declines as the investment scope of funds broadens. This restrictive investment practice has costs. A mean-variance strategy shows unexploited gains from further international diversification. Mutual funds investing globally could achieve better risk-adjusted returns by broadening their asset allocation, including stocks held by more specialized funds within the same mutual fund family (company). This investment pattern is not explained by lack of information or instruments, transaction costs, or a better ability of global funds to minimize negative outcomes. Instead, industry practices related to organizational factors seem to play an important role.

The Co-movement of Asset Returns and the Micro-Macro Focus of Prudential Oversight

Majnoni, Giovanni
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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36.65%
The integration of micro-prudential oversight with the macro-approach to financial stability -- long in the making -- raises several issues of coordination of regulatory responsibilities. This paper argues that a decomposition of the covariance of asset returns into an endogenous volatility component -- which can be reduced -- and an exogenous volatility component -- which we have to live with -- helps address these coordination issues and provides the basis for financial health diagnostics and supervisory responses to observed symptoms of financial instability. By linking risk origination and risk control, the paper may also contribute to the search for an operational definition of the term "macro-prudential."

Income Diversification in Zimbabwe : Welfare Implications from Urban and Rural Areas

Ersado, Lire
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
36.4%
The author examines, taking into account the urban-rural divides, the changes and welfare implications of income diversification in Zimbabwe following macroeconomic policy changes and droughts of the early 1990s. Data from two comparable national income, consumption and expenditure surveys in 1990-91 and 1995-96, which straddled a period of economic volatility and natural disasters, show that the percentage of households earning income from private and informal sources grew considerably, while that from government and formal sources declined in the aftermath of the drought and policy changes. The author finds that, in general, rural households tend to have a more diversified portfolio of income compared with their urban counterparts, and the degree of diversification decreases with the level of urbanization. However, there are important differences in the level of diversification within the rural and urban areas depending on wealth: While the relatively better-off households have a more diversified income base in rural areas, it is the poor who pursue multiple income sources in urban areas. A decomposition of changes in welfare indicates that the total contribution of income diversification is large and increased between 1990-91 and 1995-96 in both urban and rural areas. On the other hand...

Policies to Promote Saving for Retirement : A Synthetic Overview

Vittas, Dimitri
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
Português
Relevância na Pesquisa
46.53%
The author argues that public and private pillars are essential for a well-functioning pension system. Public pillars, funded or unfounded, offer basic benefits that are independent of the performance of financial markets. Since financial markets suffer from prolonged, persistent, and large deviations from long-term trends, they cannot be relied on as the sole provider of pension benefits. Funded pillars provide benefits that are based on long-term capital accumulation and financial market performance. But they need to be privately managed to minimize dependence on public sector institutions and avoid government dominance of the economy and financial markets. The author focuses mainly on the promotion, structure, and regulation of funded pillars. He discusses the case for using compulsion and tax incentives, for exempting some categories of workers such as the very young (under 25), the very old (over the normal retirement age), the very poor (those earning less than 40 percent of the average wage), and the self-employed...

Lending Concentration, Bank Performance and Systemic Risk : Exploring Cross-Country Variation

Beck, Thorsten; De Jonghe, Olivier
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
36.81%
Using both market-based and annual report-based approaches to measure lending specialization for a broad cross-section of banks and countries over the period 2002 to 2011, this paper is the first to empirically gauge the relationship between bank lending specialization and bank performance and stability in an international sample. Theory suggests that banks might benefit from specialization in the form of higher screening and monitoring efficiency, while a diversified loan portfolio might also enhance stability. This paper finds that sectoral specialization increases volatility and systemic risk exposures, while not leading to higher returns. The paper also documents important time, cross-bank, and cross-county variation in this relationship, which is stronger post 2007, for richer countries, countries without regulatory requirements on diversification, banks with lower market power, and banks with more traditional intermediation models.

The Use of "Asset Swaps" by Institutional Investors in South Africa

Dimitri Vittas
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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36.86%
Leading financial economists have proposed the use of international asset swaps (Merton 1990, Bodie and Merton 2002) as a way of efficiently achieving international diversification without eroding the level of foreign exchange reserves and weakening local market development. International asset swaps entail limited foreign currency flows (only net gains or losses need to be exchanged). They protect foreign investors from market manipulation and expropriation risk and have much lower transaction costs than outright investments. But asset swaps are constrained by the attractiveness of local markets to foreign investors, and by various regulatory issues covering counterparty risk and collateral considerations, and accounting, valuation, and reporting rules. Institutional investors are well developed in South Africa. Their total assets corresponded in 2001 to 159 percent of GDP, a level that was surpassed by only four high-income countries. But because of the imposition of exchange controls, they lacked international diversification. In July 1995 South Africa was the first developing country that explicitly allowed its pension funds and other institutional investors to make use of "asset swaps." But the South African authorities did not authorize the use of properly specified swap contracts as described by Bodie and Merton...

The Insurance Industry in Mauritius

Vittas, Dimitri
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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46.37%
The insurance industry is relatively well developed. It makes extensive use of reinsurance facilities and is free from the pervasive premium, product, investment, and reinsurance controls that have bedeviled the insurance markets of so many developing countries around the world. Total premiums amounted in 2001 to 4.1 percent of GDP, while insurance company assets were equivalent to 18 percent of GDP. Life insurance, which has been favored by generous tax incentives and has also benefited from the growth of pension business and housing finance, represents 61 percent of total premiums. Nonlife business is also well organized. Large industrial and commercial risks are reinsured with top international companies, while motor insurance, which is the largest class of business with 45 percent of total nonlife premiums, does not suffer from high loss ratios or unduly long delays in settlement. Investment limits are generally sound and, with some small but important exceptions, effectively nonbinding. There is no minimum requirement for investment in government securities. Investment in overseas assets is limited to 25 percent of total assets...

International Asset Allocations and Capital Flows : The Benchmark Effect

Raddatz, Claudio; Schmukler, Sergio L.; Williams, Tomas
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
36.71%
This paper studies channels through which well-known benchmark indexes impact asset allocations and capital flows across countries. The study uses unique monthly micro-level data of benchmark compositions and mutual fund investments during 1996-2012. Benchmarks have important effects on equity and bond mutual fund portfolios across funds with different degrees of activism. Benchmarks explain, on average, around 70 percent of country allocations and have significant impact even on active funds. Benchmark effects are important after controlling for industry, macroeconomic, and country-specific, time-varying effects. Reverse causality does not drive the results. Exogenous, pre-announced changes in benchmarks result in movements in asset allocations mostly when these changes are implemented (not when announced). By impacting country allocations, benchmarks affect capital flows across countries through direct and indirect channels, including contagion. They explain apparently counterintuitive movements in capital flows...

Bhutan Development Update, April 2015

World Bank Group
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Relatório
Português
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46.46%
Growth rebounded in 2014 along with the lift of restrictions over credit and imports, tourism expansion, and the resumption of hydropower investment. Bhutan’s significant dissaving is illustrated by a large current account deficit. Priority will have to be given to private sector development and asset diversification if Bhutan wants to reduce its vulnerability to donor finance and address rising youth unemployment.

The impact of heavy tails and comovements in downside-risk diversification

Gonzalo, Jesús; Olmo, José
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em 08/02/2007 Português
Relevância na Pesquisa
36.46%
This paper uncovers the factors influencing optimal asset allocation for downside-risk averse investors. These are comovements between assets, the product of marginal tail probabilities, and the tail index of the optimal portfolio. We measure these factors by using the Clayton copula to model comovements and extreme value theory to estimate shortfall probabilities. These techniques allow us to identify useless diversification strategies based on assets with different tail behaviour, and show that in case of financial distress the asset with heavier tail drives the return on the overall portfolio down. An application to financial indexes of UK and US shows that mean-variance and downside-risk averse investors construct different efficient portfolios.

Financial Globalization in Emerging Countries : Diversification vs. Offshoring

Ceballos, Francisco; Didier, Tatiana; Schmukler, Sergio L.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
36.82%
Financial globalization has gathered attention since the early 1990s because of its macro-financial implications and growing importance. But financial globalization has taken shape via different forms over time. This paper examines two important, concurrent dimensions of financial globalization: diversification and offshoring. The diversification dimension refers to the increase in foreign assets and liabilities in countries' portfolios. Offshoring is related to the reallocation of financial activities to international markets. The former focuses on who holds the assets, the latter on where transactions take place. The authors find that globalization via the diversification channel expanded throughout the world during the 2000s, as domestic residents invested more abroad and foreigners increased their investments at home, generating more cross-border holdings. However, financial globalization via offshoring displays more mixed patterns, with variations across markets and countries. The paper also shows that the nature of financing through both diversification and offshoring has improved for emerging countries.

Financial Sector Assessment : Fiji

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Financial Sector Assessment Program (FSAP); Economic & Sector Work
Português
Relevância na Pesquisa
36.66%
The financial sector in Fiji is generally sound but has concentrated too heavily on domestic exposures producing a lack of risk diversification. This concentration is an increasing vulnerability, as foreign currency earnings become more dependent on tourism and remittances from workers overseas. Fiji has a financially strong and highly profitable banking sector, good supervision and laws, and a high degree of long-term contractual savings through the insurance and pension sectors. The major distortion arises, however, from the Fiji National Provident Fund (FNPF), which itself accounts for about 40 percent of financial system assets. This paper takes a close look at Fiji's financial sector as it relates to the following: macroeconomic environment and risk; monetary policy, the financial sector stability and performance of the banking, insurance and Provident national fund; the regulatory framework; access to finance; payment systems; and anti laundering and terrorism. The paper also gives and overall assessment and key recommendations.

Mauritius : Financial Sector Assessment

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Financial Sector Assessment Program (FSAP); Economic & Sector Work
Português
Relevância na Pesquisa
36.61%
This Financial Sector Assessment (FSA) is the joint IMF-World Bank work, based on the context of the Financial Sector Assessment Program (FSAP), intended to identify strengths, and vulnerabilities, as well as development needs of the financial sector. The report thus summarizes main findings, and policy recommendations as follows. Mauritius has been remarkably successful in achieving rapid growth, and substantial diversification of a formerly mono-agricultural economy. However, maintaining the past high rates of growth, and employment will pose a major challenge. The trade preferences on which two of the pillars of the economy are founded are being eroded, forcing the sugar and textile industries, to significantly improve their competitiveness, or lose market share to larger, lower-cost producers. In partnership with the private sector, the government is taking decisive measures to build a knowledge economy based on higher value-added services, notably in information and communication technologies. They have also adopted programs to modernize...

Diversification in multi-asset portfolios in the context of the chinese real estate and stock market

Di, Tang
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2014 Português
Relevância na Pesquisa
36.56%
Mestrado em Finanças; This study uses a single index model to examine the correlation between Chinese real estate and the stock market. The real estate market is reflected by 3 years' monthly data of 13 listed real estate companies and the stock market is represented by Shanghai Composite index and Shenzhen Component index. According to the analysis, it is found that the correlation between the real estate and the stock market is in fact very low, and thus real estate is a good option for diversification is a multi-asset portfolio.

Effects of diversification among assets in an agent-based market model

Ghoulmie, Francois; Bartolozzi, M; Mellen, C; Di Matteo, Tiziana
Fonte: SPIE - The International Society for Optical Engineering Publicador: SPIE - The International Society for Optical Engineering
Tipo: Conference paper
Português
Relevância na Pesquisa
36.67%
We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmié et al.1 In particular, we focus on adaptive agents with threshold behavior allocating their resources among two assets. We e

Examination of Time-Variant Asset Correlations Using High- Frequency Data

Lei, Mingwei
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Tese de Doutorado
Publicado em 18/04/2012 Português
Relevância na Pesquisa
36.57%
Drawing motivation from the 2007-2009 global financial crises, this paper looks to further examine the potential time-variant nature of asset correlations. Specifically, high frequency price data and its accompanying tools are utilized to examine the relationship between asset correlations and market volatility. Through further analyses of this relationship using linear regressions, this paper presents some significant results that provide striking evidence for the time-variability of asset correlations. These findings have crucial implications for portfolio managers as well as risk management professionals alike, especially in the contest of diversification.; George Tauchen, Timothy Bollerslev

A theoretical and empirical study of asset securitisation: Risk modelling, security design and market pricing.

Jobst, Andreas Alexander
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em //2005 Português
Relevância na Pesquisa
36.52%
Asset securitisation represents an alternative risk management and refinancing method, which allows issues to convert classifiable cash flows from a diversified portfolio of pre-existing assets and receivables (liquidity transformation and asset diversification process) of varying maturity and quality (integration and differentiation process) into negotiable capital market paper, so-called "asset-backed securities" (ABS). Over the recent past ambivalence in the definition of capital adequacy for credit risk has particularly facilitated the development of loan securitisation as a refined "regulatory arbitrage tool". However, as impending regulatory change shifts the prime objective of securitisation to the efficient management of economic capital, procedural and substantive aspects of asset securitisation warrant closer inspection. The dissertation presents a comprehensive examination of the risk modelling, asset selection, optimal security design and competitive market pricing of asset-backed securities. We first provide an overview of the main characteristics of asset securitisation and explain its attendant benefits and drawbacks, especially as they pertain to the refinancing of illiquid asset exposures, such as SME-related payment obligations. Subsequently...