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## Modelos black-litterman e GARCH ortogonal para uma carteira de títulos do tesouro nacional; Black-Litterman and ortogonal GARCH models for a portfolio of bonds issued by the National Treasury

Lobarinhas, Roberto Beier
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
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Uma grande dificuldade da gestão financeira é conseguir associar métodos quantitativos às formas tradicionais de gestão, em um único arranjo. O estilo tradicional de gestão tende a não crer, na devida medida, que métodos quantitativos sejam capazes de captar toda sua visão e experiência, ao passo que analistas quantitativos tendem a subestimar a importância do enfoque tradicional, gerando flagrante desarmonia e ineficiência na análise de risco. Um modelo que se propõe a diminuir a distância entre essas visões é o modelo Black-Litterman. Mais especificamente, propõe-se a diminuir os problemas enfrentados na aplicação da teoria moderna de carteiras e, em particular, os decorrentes da aplicação do modelo de Markowitz. O modelo de Markowitz constitui a base da teoria de carteiras há mais de meio século, desde a publicação do artigo Portfolio Selection [Mar52], entretanto, apesar do papel de destaque da abordagem média-variância para o meio acadêmico, várias dificuldades aparecem quando se tenta utilizá-lo na prática, e talvez, por esta razão, seu impacto no mundo dos investimentos tem sido bastante limitado. Apesar das desvantagens na utilização do modelo de média-variância de Markowitz, a idéia de maximizar o retorno...

## Monitoramento sequencial do portfólio de mínima variância : um teste para o mercado brasileiro

Difini, Diego Rodrigues
Tipo: Trabalho de Conclusão de Curso Formato: application/pdf
Português
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A possibilidade de ocorrência de erros na estimação de parâmetros gera riscos de estimação para a abordagem de otimização de carteiras por média-variância. Por esse motivo, tanto pesquisadores como profissionais de mercado tem dedicado grande atenção a carteiras de mínima variância, que estão sujeitas a um nível menor de erros de estimação. Apesar de possuir vantagens, essa abordagem também enfrenta dificuldades, em especial por existir ampla evidência da existência de quebras estruturais no segundo momento da distribuição de probabilidade dos retornos dos ativos. Por esse motivo, Golosnoy e Schmid (2007) propõem uma estratégia de investimento baseado no monitoramento sequencial dos pesos do portfólio de mínima variância. O monitoramento proposto por eles é feito através de uma ferramenta chamada gráfico de controle. Neste trabalho, propomos um teste empiríco para quantificar os efeitos econômicos resultantes da aplicação dessa estratégia de investimento a uma carteira de 40 ações negociadas na BM&F Bovespa. Os dados de nosso teste empiríco indicam que essa estratégia dinâmica de investimento produz resultados econômicos significativos, com sua aplicação gerando ganhos em todos os três critérios de avaliação analisados: excesso de retorno absoluto...

## Fight or Flight? Portfolio Rebalancing by Individual Investors

Campbell, John; Calvert, Lauren E.; Sodini, Paolo
Fonte: MIT Press Publicador: MIT Press
Português
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This paper investigates the dynamics of individual portfolios in a unique dataset containing the disaggregated wealth of all households in Sweden. Between 1999 and 2002, we observe little aggregate rebalancing in the financial portfolio of participants. These patterns conceal strong household-level evidence of active rebalancing, which on average offsets about one half of idiosyncratic passive variations in the risky asset share. Wealthy, educated investors with better diversified portfolios tend to rebalance more actively. We found some evidence that households rebalance towards a higher risky share as they become richer. We also study the decisions to trade individual assets. Households are more likely to fully sell directly held stocks if those stocks have performed well, and more likely to exit direct stockholding if their stock portfolios have performed well; but these relationships are much weaker for mutual funds, a pattern which is consistent with previous research on the disposition effect among direct stockholders and performance sensitivity among mutual fund investors. When households continue to hold individual assets, however, they rebalance both stocks and mutual funds to offset about one sixth of the passive variations in individual asset shares. Households rebalance primarily by adjusting purchases of risky assets if their risky portfolios have performed poorly...

## Portfolio Rebalancing: A Test of the Markowitz-Van Dijk Heuristic

Kritzman, Mark; Page, Sébastien; Myrgren, Simon
Fonte: MIT - Massachusetts Institute of Technology Publicador: MIT - Massachusetts Institute of Technology
Tipo: Trabalho em Andamento
Português
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Institutional investors usually employ mean-variance analysis to determine optimal portfolio weights. Almost immediately upon implementation, however, the portfolio’s weights become sub-optimal as changes in asset prices cause the portfolio to drift away from the optimal targets. In an idealized world without transaction costs investors would rebalance continually to the optimal weights. In the presence of transaction costs investors must balance the cost of sub-optimality with the cost of restoring the optimal weights. We apply a quadratic heuristic to address the asset weight drift problem, and we compare it to a dynamic programming solution as well as to standard industry heuristics. Our tests reveal that the quadratic heuristic provides solutions that are remarkably close to the dynamic programming solutions for those cases in which dynamic programming is feasible and far superior to solutions based on standard industry heuristics. In the case of five assets, in fact, it performs better than dynamic programming due to approximations required to implement the dynamic programming algorithm. Moreover, unlike the dynamic programming solution, the quadratic heuristic is scalable to as many as several hundreds assets.

## Risks, Ex-ante Actions and Public Assistance : Impacts of Natural Disasters on Child Schooling in Bangladesh, Ethiopia and Malawi

Yamauchi, Futoshi; Yohannes, Yisehac; Quisumbing, Agnes
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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This paper examines the impacts of natural disasters on schooling investments with special focus on the roles of ex-ante actions and ex-post responses using panel data from Bangladesh, Ethiopia, and Malawi. The importance of ex-ante actions depends on disaster risks and the likelihood of public assistance, which potentially creates substitution between the two actions. The findings show that higher future probabilities of disasters increase the likelihood of holding more human capital and/or livestock relative to land, and this asset-portfolio effect is significant in disaster prone areas. The empirical results support the roles of both ex-ante and ex-post responses (public assistance) in coping with disasters, but also show interesting variations across countries. In Ethiopia, public assistance plays a more important role than ex-ante actions to mitigate the impact of shocks on child schooling. In contrast, households in Malawi rely more on private ex-ante actions than public assistance. The Bangladesh example shows active roles of both ex-ante and ex-post actions. These observations are consistent with the finding on the relationship between ex-ante actions and disaster risks. The results also show that among ex-ante actions...

## Taking the Bad with the Good : Volatility of Foreign Portfolio Investment and Financial Constraints of Small Firms

Knill, April M.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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The author examines the impact of the volatility of foreign portfolio investment on the financial constraints of small firms. Using a dataset of over 195,000 firm-year observations across 53 countries, she examines the impact of foreign portfolio investment instability on capital issuance and firm growth across countries and firm characteristics, in particular size. After controlling for the endogeneity of foreign portfolio investment instability, as well as for firm-, industry-, and country-level characteristics such as GDP growth, as well as the levels of foreign portfolio and direct investment, the author finds that the volatility of foreign portfolio investment is only significantly associated with a decreased ability to issue publicly-traded securities for small firms in years when nations are considered less "creditworthy." The volatility of foreign portfolio investment only hinders the growth of small firms significantly in periods when nations are deemed less "creditworthy." These results underscore both the significance of a good financial system that minimizes capital flow volatility, as well as the influence of property rights and country creditworthiness to instill confidence in foreign investors.

## 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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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...

## Capital requirements, good deals and portfolio insurance with risk measures

Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel
Tipo: info:eu-repo/semantics/submittedVersion; info:eu-repo/semantics/workingPaper
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General risk functions are becoming very important for managers, regulators and supervisors. Many risk functions are interpreted as initial capital requirements that a manager must add and invest in a risk-free security in order to protect the wealth of his clients. This paper deals with a complete arbitrage free pricing model and a general expectation bounded risk measure, and it studies whether the investment of the capital requirements in the risk-free asset is optimal. It is shown that it is not optimal in many important cases. For instance, if the risk measure is the CV aR and we consider the assumptions of the Black and Scholes model. Furthermore, in this framework and under short selling restrictions, the explicit expression of the optimal strategy is provided, and it is composed of several put options. If the confidence level of the CV aR is close to 100% then the optimal strategy becomes a classical portfolio insurance. This theoretical result seems to be supported by some independent and recent empirical analyses. If there are no limits to sale the risk-free asset, i.e., if the manager can borrow as much money as desired, then the framework above leads to the existence of “good deals” (i.e., sequences of strategies whose V aR and CV aR tends to minus infinite and whose expected return tends to plus infinite). The explicit expression of the portfolio insurance strategy above has been used so as to construct effective good deals. Furthermore...

## Pursuing Efficiency While Maintaining Outreach : Bank Privatization in Tanzania

Cull, Robert; Spreng, Connor P.
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
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Profitability improvements after the privatization of a large state-owned bank might come at the expense of reduced access to financial services for some groups, especially the rural poor. The privatization of Tanzania's National Bank of Commerce provides a unique episode for studying this issue. The bank was split into the "new" National Bank of Commerce, a commercial bank that assumed most of the original bank's assets and liabilities, and the National Microfinance Bank, which assumed most of the branch network and the mandate to foster access to financial services. The new National Bank of Commerce's profitability and portfolio quality improved although credit growth was slow, in line with privatization experiences in other developing countries. Finding a buyer for the National Microfinance Bank proved very difficult, although after years under contract management by private banking consultants, Rabobank of the Netherlands emerged as a purchaser. Profitability has since improved and lending has slowly grown...

## Confidence sets for asset correlations in portfolio credit risk; Conjuntos de confianza para la correlación de activos en el riesgo de crédito de un portafolio

Castro, Carlos
Tipo: Artigo de Revista Científica Formato: application/pdf; application/pdf
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Asset correlations are of critical importance in quantifying portfolio credit risk and economic capitalin financial institutions. Estimation of asset correlation with rating transition data has focusedon the point estimation of the correlation without giving any consideration to the uncertaintyaround these point estimates. In this article we use Bayesian methods to estimate a dynamicfactor model for default risk using rating data (McNeil et al., 2005; McNeil and Wendin, 2007).Bayesian methods allow us to formally incorporate human judgement in the estimation of assetcorrelation, through the prior distribution and fully characterize a confidence set for the correlations.Results indicate: i) a two factor model rather than the one factor model, as proposed bythe Basel II framework, better represents the historical default data. ii) importance of unobservedfactors in this type of models is reinforced and point out that the levels of the implied asset correlationscritically depend on the latent state variable used to capture the dynamics of default,as well as other assumptions on the statistical model. iii) the posterior distributions of the assetcorrelations show that the Basel recommended bounds, for this parameter, undermine the levelof systemic risk.; Las correlaciones entre los activos de un portafolio crediticio...

## Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution

Shaw, William T.
Tipo: Artigo de Revista Científica
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We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed between choices of risk function (e.g. VaR vs CVaR); choice of return distribution (power law tail vs Gaussian) and choice of event frequency, for risk assessment. We exploit this to provide a simple method for portfolio optimization when the asset returns follow a standard multivariate T distribution. This may be used as a semi-analytical verification tool for more general optimizers, and for practical assessment of the impact of fat tails on asset allocation for shorter time horizons.

## Portfolio Optimization Under Uncertainty

Dannenberg, Alex
Tipo: Artigo de Revista Científica
Português
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Classical mean-variance portfolio theory tells us how to construct a portfolio of assets which has the greatest expected return for a given level of return volatility. Utility theory then allows an investor to choose the point along this efficient frontier which optimally balances her desire for excess expected return against her reluctance to bear risk. The means and covariances of the distributions of future asset returns are assumed to be known, so the only source of uncertainty is the stochastic piece of the price evolution. In the real world, we have another source of uncertainty - we estimate but don't know with certainty the means and covariances of future asset returns. This note explains how to construct mean-variance optimal portfolios of assets whose future returns have uncertain means and covariances. The result is simple in form, intuitive, and can easily be incorporated in an optimizer.

## Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets

Tipo: Artigo de Revista Científica
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We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical multifactor asset pricing model. First, we present a spectral test for market timing based on behavioral transformation of the hedge factors design matrix. Second, we find that the typical trade strategy process is a local martingale with a background driving Brownian bridge that mimics portfolio manager price reversal strategies. Third, we show that equilibrium asset pricing models like the CAPM exists on a set with P-measure zero. So that excess returns, i.e. positive alpha, relative to a benchmark index is robust to no arbitrage pricing in turbulent capital markets. Fourth, the path properties of alpha are such that it is positive between suitably chosen stopping times for trading. Fifth, we demonstrate how, and why, econometric tests of portfolio performance tend to under report positive alpha.; Comment: 15 pages, 0 figures

## Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz

Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger
Tipo: Artigo de Revista Científica
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Using daily returns of the S&P 500 stocks from 2001 to 2011, we perform a backtesting study of the portfolio optimization strategy based on the extreme risk index (ERI). This method uses multivariate extreme value theory to minimize the probability of large portfolio losses. With more than 400 stocks to choose from, our study seems to be the first application of extreme value techniques in portfolio management on a large scale. The primary aim of our investigation is the potential of ERI in practice. The performance of this strategy is benchmarked against the minimum variance portfolio and the equally weighted portfolio. These fundamental strategies are important benchmarks for large-scale applications. Our comparison includes annualized portfolio returns, maximal drawdowns, transaction costs, portfolio concentration, and asset diversity in the portfolio. In addition to that we study the impact of an alternative tail index estimator. Our results show that the ERI strategy significantly outperforms both the minimum-variance portfolio and the equally weighted portfolio on assets with heavy tails.; Comment: Manuscript accepted in the Journal of Empirical Finance

## Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending

Tipo: Artigo de Revista Científica
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In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No assumptions about the correlation structure between different time points or about the distribution of the asset returns are needed. The problem is stated as a dynamic tracking problem of a reference portfolio with desired return. Our approach is tested on a set of a real data from Russian Stock Exchange MICEX.; Comment: arXiv admin note: substantial text overlap with arXiv:1410.1136

## Merton problem with one additional indivisible asset

Trybuła, Jakub
Tipo: Artigo de Revista Científica
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In this paper we consider a modification of the classical Merton portfolio optimization problem. Namely, an investor can trade in financial asset and consume his capital. He is additionally endowed with a one unit of an indivisible asset which he can sell at any time. We give a numerical example of calculating the optimal time to sale the indivisible asset, the optimal consumption rate and the value function.

## On the role of F\"ollmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management

Deshpande, Amogh
Tipo: Artigo de Revista Científica
Português
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Kuroda and Nagai \cite{KN} state that the factor process in the Risk Sensitive control Asset Management (RSCAM) is stable under the F\"ollmer-Schweizer minimal martingale measure . Fleming and Sheu \cite{FS} and more recently F\"ollmer and Schweizer \cite{FoS} have observed that the role of the minimal martingale measure in this portfolio optimization is yet to be established. In this article we aim to address this question by explicitly connecting the optimal wealth allocation to the minimal martingale measure. We achieve this by using a "trick" of observing this problem in the context of model uncertainty via a two person zero sum stochastic differential game between the investor and an antagonistic market that provides a probability measure. We obtain some startling insights. Firstly, if short-selling is not permitted and if the factor process evolves under the minimal martingale measure then the investor's optimal strategy can only be to invest in the riskless asset (i.e. the no-regret strategy). Secondly, if the factor process and the stock price process have independent noise, then even if the market allows short selling, the optimal strategy for the investor must be the no-regret strategy while the factor process will evolve under the minimal martingale measure .; Comment: A.Deshpande (2015)...

## Estimation of the Global Minimum Variance Portfolio in High Dimensions

Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang
Tipo: Artigo de Revista Científica
Português
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We estimate the global minimum variance (GMV) portfolio in the high-dimensional case using results from random matrix theory. This approach leads to a shrinkage-type estimator which is distribution-free and it is optimal in the sense of minimizing the out-of-sample variance. Its asymptotic properties are investigated assuming that the number of assets $p$ depends on the sample size $n$ such that $\frac{p}{n}\rightarrow c\in (0,+\infty)$ as $n$ tends to infinity. The results are obtained under weak assumptions imposed on the distribution of the asset returns, namely it is only required the fourth moments existence. Furthermore, we make no assumption on the upper bound of the spectrum of the covariance matrix. As a result, the theoretical findings are also valid if the dependencies between the asset returns are described by a factor model which appears to be very popular in financial literature nowadays. This is also well-documented in a numerical study where the small- and large-sample behavior of the derived estimator are compared with existing estimators of the GMV portfolio. The resulting estimator shows significant improvements and it turns out to be robust to the deviations from normality.; Comment: 38 pages inc. 16 figures. Revised and corrected version

## Alocação de ativos no mercado acionário brasileiro segundo o conceito de downside risk; Asset allocation in the Brazilian stock market according to the downside risk strategy

Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; ; ; ; Formato: application/pdf