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- Biblioteca Digitais de Teses e Dissertações da USP
- Instituto Politécnico de Lisboa
- Sociedade Brasileira de Microbiologia
- Dental Press International
- Universität Tübingen
- Instituto Universitário Europeu
- Universidade Carlos III de Madrid
- Université de Montréal
- Instituto Superior de Economia e Gestão
- Universidade Cornell
- Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
- Financial Markets Group, London School of Economics and Political Science
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## Avaliação do tempo e do grau de eficiência do tratamento da má oclusão de classe I realizado com e sem extrações de pré-molares; Evaluation of time and efficiency of Class I malocclusion treatment carried out with and without premolar extractions

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

Publicado em 20/01/2009
Português

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#Class I#Classe I#efficiency#eficiência#má oclusão#malocclusion#occlusal outcome#orthodontics#ortodontia#resultado oclusal

O objetivo deste estudo retrospectivo foi comparar os resultados oclusais o tempo e a eficiencia do tratamento da ma oclusao de Classe I, realizado com e sem extracoes de pre-molares. Para tanto foi selecionada a partir das documentacoes do arquivo da Disciplina de Ortodontia da Faculdade de Odontologia de Bauru, uma amostra composta pelas documentacoes de 111 pacientes com ma oclussao de Classe I, e em seguida dividida em dois grupos que apresentaram as seguintes caracteristicas: Grupo 1, constituido por 65 pacientes (24 masculino e 41 feminino) com idade inicial media de 13,82 anos (minima de 10,69 e maxima de 22,04 anos), que foram tratados com extracoes de quatro pre-molares. Grupo 2, constituido por 46 pacientes, (16 masculino e 30 feminino) com idade inicial media de 14,01 anos (minima de 11,04 e maxima de 21,54 anos) tratados sem extracoes de pre-molares. Ambos os grupos foram tratados com aparelho fixo, utilizando a mecanica edgewise simplificada. As avaliacoes oclusais foram realizadas em modelos de gesso dos pacientes nas fases inicial e final utilizando o indice PAR. A avaliacao da compatibilidade no inicio do tratamento foi realizada por meio do teste do Qui- Quadrado e o teste t. As comparacoes entre os resultados oclusais...

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## From efficiency to optimality in proportional reinsurance under group correlation

Fonte: Instituto Politécnico de Lisboa
Publicador: Instituto Politécnico de Lisboa

Tipo: Conferência ou Objeto de Conferência

Publicado em /07/2011
Português

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#Mean-variance efficiency#Constrained quadratic optimization#Proportional reinsurance#Group correlation

Based on our recent discovery of closed form formulae of efficient Mean Variance
retentions in variable quota-share proportional reinsurance under group correlation, we
analyzed the influence of different combination of correlation and safety loading levels
on the efficient frontier, both in a single period stylized problem and in a multiperiod
one.

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## Assessment of the efficiency of SimPlate™ total plate count color indicator (TPC CI) to quantify mesophilic aerobic microorganisms in pasteurized milk

Fonte: Sociedade Brasileira de Microbiologia
Publicador: Sociedade Brasileira de Microbiologia

Tipo: Artigo de Revista Científica
Formato: text/html

Publicado em 01/01/2002
Português

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The SimPlate™ TPC CI system is a rapid method to count mesophilic aerobic microorganisms (MAM) in foods, based on the use of resazurine to indicate bacterial growth. Its efficiency in pasteurized milk was evaluated using 142 pasteurized milk samples (38 type A, 43 type B and 61 type C) collected in Londrina, PR. The standard plating method, using Plate Count Agar (PCA) was used for comparison. The plates of both systems were incubated at 35ºC and read after 24h and 48h. The occurrence of false-positive and false-negative wells and the predominant microorganisms in them were also evaluated. The results were compared by simple correlation and mean variance analyses. The correlation (r) and mean variance values were 0.6811 and 0.7583 for the results obtained after 24h, respectively, and 0.9126 and 0.0842 for the results obtained after 48h, respectively. These results indicate that the performance of the system increases when the plates are incubated for 48h. When the three types of milk were evaluated separately, these values were 0.9285 and 0.0817 for type A milk, 0.9231 and 0.0466 for type B milk and 0.7209 and 0.1082 for type C milk. These results indicate that the better the quality of the milk the better the performance of SimPlate™ TPC CI. False-negative wells...

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## Influence of initial occlusal severity on time and efficiency of Class I malocclusion treatment carried out with and without premolar extractions

Fonte: Dental Press International
Publicador: Dental Press International

Tipo: Artigo de Revista Científica
Formato: text/html

Publicado em 01/08/2014
Português

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INTRODUCTION: The aim of this retrospective study was to compare the occlusal outcomes, duration and efficiency of Class I malocclusion treatment carried out with and without premolar extractions in patients with different degrees of initial malocclusion severity. METHODS: Complete records of 111 patients were obtained and divided into two groups: Group 1 consisted of 65 patients at an initial mean age of 13.82 years old treated with four premolar extractions; whereas Group 2 consisted of 46 patients at an initial mean age of 14.01 years old treated without extractions. Two subgroups were obtained from each group (1A, 1B, 2A and 2B) with different degrees of malocclusion severity according to the initial values of PAR index. Compatibility was assessed using chi-square and t-tests. The subgroups were compared by means of Analysis of Variance (ANOVA).The variables that might be related to treatment duration and efficiency were assessed using the multiple linear regression analysis. RESULTS: Initial malocclusion severity was positively related to the amount of occlusal correction and consequently to a higher efficiency index. Moreover, extraction protocol showed a positive relationship with treatment duration and a negative relationship with treatment efficiency. CONCLUSION: Extraction and non-extraction protocols for correction of Class I malocclusion provide similar satisfactory results; however...

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## Discrete time and continuous time dynamic mean-variance analysis

Fonte: Universität Tübingen
Publicador: Universität Tübingen

Tipo: ResearchPaper

Português

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#Portfolio Selection#330#Dynamic Optimization , Growth Optimum Portfolio , Mean-Variance-Efficiency , Minimum Deviation , Portfolio Selection , Two-Fund Theorem

Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance analysis. Here, the mean-variance efficient self-financing portfolio strategy is derived for n risky assets in discrete and continuous time. In the discrete setting, the resulting portfolio is mean-variance efficient in a dynamic sense. It is shown that the optimal strategy for n risky assets may be dominated if the expected terminal wealth is constrained to exactly attain a certain goal instead of exceeding the goal. The optimal strategy for n risky assets can be decomposed into a locally mean-variance efficient strategy and a strategy that ensures optimum diversification across time. In continuous time, a dynamically mean-variance efficient portfolio is infeasible due to the constraint on the expected level of terminal wealth. A modified problem where mean and variance are determined at t=0 was solved by Richardson (1989). The solution is discussed and generalized for a market with n risky assets. Moreover, a dynamically optimal strategy is presented for the objective of minimizing the expected quadratic deviation from a certain target level subject to a given mean. This strategy equals that of the first objective. The strategy can be reinterpreted as a two-fund strategy in the growth optimum portfolio and the risk-free asset.

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## Optimal Wind Power Deployment in Europe - a Portfolio Approach

Fonte: Instituto Universitário Europeu
Publicador: Instituto Universitário Europeu

Tipo: Trabalho em Andamento
Formato: application/pdf; digital

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#wind power variability#geographic diversification#optimal portfolios#mean variance portfolio theory

Geographic diversification of wind farms can smooth out the fluctuations in wind power generation and reduce the associated system balancing and reliability costs. The paper uses historical wind production data from five European countries (Austria, Denmark, France, Germany, and Spain) and applies Mean-Variance Portfolio theory to identify cross-country portfolios that minimize the total variance of wind production for a given level of production. Theoretical unconstrained portfolios show that countries (Spain and Denmark) with the best wind resource or whose size contributes to smoothing out the country output variability dominate optimal portfolios. The methodology is then elaborated to derive optimal constrained portfolios taking into account national wind resource potential and transmission constraints and compare them with the projected portfolios for 2020. Such constraints limit the theoretical potential efficiency gains from geographical diversification, but there is still considerable room to improve performance from actual or projected portfolios. These results highlight the need for more cross-border interconnection capacity, for greater coordination of European renewable support policies, and for renewable support mechanisms and electricity market designs providing locational incentives. Under these conditions...

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## Testing downside risk efficiency under market distress

Fonte: Universidade Carlos III de Madrid
Publicador: Universidade Carlos III de Madrid

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

Publicado em /09/2008
Português

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#Comovements#Downside risk#Lower partial moments#Market Distress#Mean-risk models#Mean-variance models#Stochastic dominance#C1#C2#Economía

In moments of distress downside risk measures like Lower Partial Moments (LPM) are more
appropriate than the standard variance to characterize risk. The goal of this paper is to study
how to compare portfolios in these situations. In order to do that we show the close connection
between mean-risk efficiency sets and stochastic dominance under distress episodes of the
market, and use the latter property to propose a hypothesis test to discriminate between
portfolios across risk aversion levels. Our novel family of test statistics for testing stochastic
dominance under distress makes allowance for testing orders of dominance higher than zero,
for general forms of dependence between portfolios and can be extended to residuals of
regression models. These results are illustrated in the empirical application for data from US
stocks. We show that mean-variance strategies are stochastically dominated by mean-risk
efficient sets in episodes of financial distress.

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## Downside Risk Efficiency Under Market Distress

Fonte: Universidade Carlos III de Madrid
Publicador: Universidade Carlos III de Madrid

Tipo: Trabalho em Andamento
Formato: application/pdf

Publicado em /06/2009
Português

Relevância na Pesquisa

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#Downside risk#Lower partial moments#Market distress#Mean-risk models#Mean-variance models#Stochastic dominance#C1#C2#G1#Economía

In moments of financial distress downside risk measures like lower partial moments are more appropriate than the standard variance to characterize risk. The goal of this paper is to study how to choose optimal portfolios in these periods. In order to do this we extend the definition of lower partial moments to this environment, derive the corresponding mean-risk dominance set and define the concept of stochastic dominance under distress. The paper shows the close connection between the mean-risk dominance set and the stochastic dominance frontier in these situations. The advantage of using stochastic dominance is that we can readily compare investors' preferences over investment portfolios in a meaningful way regardless their degree of risk aversion. We do this by proposing a hypothesis test. Our novel family of test statistics for testing stochastic dominance under distress makes allowance for testing orders of dominance higher than one, for general forms of dependence between portfolios and can be extended to residuals of regression models. These results are illustrated in an empirical application for data from US stocks. We show that mean- variance strategies are stochastically dominated by meanrisk efficient portfolios in episodes of financial distress.

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## Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

Fonte: Université de Montréal
Publicador: Université de Montréal

Tipo: Artigo de Revista Científica
Formato: 400691 bytes; application/pdf

Português

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#modèle d’évaluation d’actifs financiers#CAPM#efficience de portefeuille#non-normalité#modèle de régression multivarié#hypothèse linéaire uniforme#test exact#test de Monte Carlo#bootstrap#paramètres de nuisance#test de spécification

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods...

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## Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

Fonte: Université de Montréal
Publicador: Université de Montréal

Tipo: Artigo de Revista Científica
Formato: 219916 bytes; application/pdf

Português

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#modèle d’évaluation d’actifs financiers#CAPM#efficacité moyenne-variance#non-normalité#modèle de régression multivarié#hypothèse uniforme linéaire#test de Monte Carlo#boot-strap#paramètre de nuisance#test de spécification#diagnostics

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the “maximized MC” (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the test’s significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates...

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## Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

Fonte: Université de Montréal
Publicador: Université de Montréal

Tipo: Artigo de Revista Científica
Formato: 204421 bytes; application/pdf

Português

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#capital asset pricing model#mean-variance efficiency#non-normality#multivariate linear regression#stable distribution#skewness#kurtosis#asymmetry#uniform linear hypothesis#exact test#Monte Carlo test

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data, we propose a comprehensive statistical approach which allows for alternative - possibly asymmetric - heavy tailed distributions without the use of large-sample approximations. The methods suggested are based on Monte Carlo test techniques. Goodness-of-fit tests are formally incorporated to ensure that the error distributions considered are empirically sustainable, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are derived. Tests for the efficiency of the market portfolio (zero intercepts) which explicitly allow for the presence of (unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns on 12 portfolios of the New York Stock Exchange over the period 1926-1995 (5 year subperiods). We find that stable possibly skewed distributions provide statistically significant improvement in goodness-of-fit and lead to fewer rejections of the efficiency hypothesis.

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## The efficiency in Markowitz, minimum-variance and naïve portfolios applied to smi

Fonte: Instituto Superior de Economia e Gestão
Publicador: Instituto Superior de Economia e Gestão

Tipo: Dissertação de Mestrado

Publicado em //2015
Português

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#Teoria Carteira Markowitz#Carteira Naïve#Carteira de Mínima Variância#Índice Sharpe#Markowitz Portfolio Theory#Naïve Portfolio#Minimum-Variance Portfolio#Sharpe Index

Mestrado em Finanças; Esta dissertação tem como objectivo analisar vários modelos de gestão de carteiras, tendo em consideração gestão activa e passiva e o seu impacto na escolha eficiente de uma carteira ótima composta por activos do índice bolsista Suiço - SMI.
A minha escolha recaíu sobre a Suiça por várias razões. Em primeiro lugar, seria interessante perceber o comportamento de um mercado europeu que não utilizasse a moeda única. Outra das razões foi por este mercado incorpora algumas grandes empresas multinacionais, tais como a Nestlé e a Swatch.
A análise histórica das carteiras teve em conta o modelo Markowitz (média-variância), modelo Mínima-Variância e o modelo Naïve (pesos iguais). O horizonte temporal utilizado neste estudo foi de 10 anos, considerando o período de Janeiro de 2004 a Dezembro de 2013. Os dados foram retirados da base de dados académica Datastream.
Para calcular o peso a investir em cada ativo, foram utilizados os sistemas de ?janelas de dados? a 1 e 2 anos.
Por fim, será possível observer se, para 12 meses, existem ou não diferenças significativas entre os modelos de gestão de carteiras estudados nesta dissertação. Será também possível analisar se, para rendibilidades e rácios de Sharpe mais elevados...

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## Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 21/05/2012
Português

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#Quantitative Finance - Portfolio Management#Mathematics - Optimization and Control#91G10, 93E20, 60G48

It is well known that mean-variance portfolio selection is a
time-inconsistent optimal control problem in the sense that it does not satisfy
Bellman's optimality principle and therefore the usual dynamic programming
approach fails. We develop a time- consistent formulation of this problem,
which is based on a local notion of optimality called local mean-variance
efficiency, in a general semimartingale setting. We start in discrete time,
where the formulation is straightforward, and then find the natural extension
to continuous time. This complements and generalises the formulation by Basak
and Chabakauri (2010) and the corresponding example in Bj\"ork and Murgoci
(2010), where the treatment and the notion of optimality rely on an underlying
Markovian framework. We justify the continuous-time formulation by showing that
it coincides with the continuous-time limit of the discrete-time formulation.
The proof of this convergence is based on a global description of the locally
optimal strategy in terms of the structure condition and the
F\"ollmer-Schweizer decomposition of the mean-variance tradeoff. As a
byproduct, this also gives new convergence results for the F\"ollmer-Schweizer
decomposition, i.e. for locally risk minimising strategies.

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## Continuous-time mean-variance efficiency: the 80% rule

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 09/02/2007
Português

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#Mathematics - Probability#Quantitative Finance - Statistical Finance#90A09 (Primary) 93E20 (Secondary)

This paper studies a continuous-time market where an agent, having specified
an investment horizon and a targeted terminal mean return, seeks to minimize
the variance of the return. The optimal portfolio of such a problem is called
mean-variance efficient \`{a} la Markowitz. It is shown that, when the market
coefficients are deterministic functions of time, a mean-variance efficient
portfolio realizes the (discounted) targeted return on or before the terminal
date with a probability greater than 0.8072. This number is universal
irrespective of the market parameters, the targeted return and the length of
the investment horizon.; Comment: Published at http://dx.doi.org/10.1214/105051606000000349 in the
Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute
of Mathematical Statistics (http://www.imstat.org)

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## On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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#Quantitative Finance - Portfolio Management#Mathematics - Optimization and Control#Mathematics - Probability#Quantitative Finance - Computational Finance

In the paper, we consider three quadratic optimization problems which are
frequently applied in portfolio theory, i.e, the Markowitz mean-variance
problem as well as the problems based on the mean-variance utility function and
the quadratic utility.Conditions are derived under which the solutions of these
three optimization procedures coincide and are lying on the efficient frontier,
the set of mean-variance optimal portfolios. It is shown that the solutions of
the Markowitz optimization problem and the quadratic utility problem are not
always mean-variance efficient. The conditions for the mean-variance efficiency
of the solutions depend on the unknown parameters of the asset returns. We deal
with the problem of parameter uncertainty in detail and derive the
probabilities that the estimated solutions of the Markowitz problem and the
quadratic utility problem are mean-variance efficient. Because these
probabilities deviate from one the above mentioned quadratic optimization
problems are not stochastically equivalent. The obtained results are
illustrated by an empirical study.; Comment: Revised preprint. To appear in European Journal of Operational
Research. Contains 18 pages, 6 figures

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## An ECM algorithm for Skewed Multivariate Variance Gamma Distribution in Normal Mean-Variance Representation

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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Normal mean-variance mixture distributions are widely applied to simplify a
model's implementation and improve their computational efficiency under the
Maximum Likelihood (ML) approach. Especially for distributions with normal
mean-variance mixtures representation such as the multivariate skewed variance
gamma (MSVG) distribution, it utilises the expectation-conditional-maximisation
(ECM) algorithm to iteratively obtain the ML estimates. To facilitate
application to financial time series, the mean is further extended to include
autoregressive terms. Techniques are proposed to deal with the unbounded
density for small shape parameter and to speed up the convergence. Simulation
studies are conducted to demonstrate the applicability of this model and
examine estimation properties. Finally, the MSVG model is applied to analyse
the returns of five daily closing price market indices and standard errors for
the estimated parameters are computed using Louis's method.

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## Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 04/03/2014
Português

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The discrete-time mean-variance portfolio selection formulation, a
representative of general dynamic mean-risk portfolio selection problems, does
not satisfy time consistency in efficiency (TCIE) in general, i.e., a truncated
pre-committed efficient policy may become inefficient when considering the
corresponding truncated problem, thus stimulating investors' irrational
investment behavior. We investigate analytically effects of portfolio
constraints on time consistency of efficiency for convex cone constrained
markets. More specifically, we derive the semi-analytical expressions for the
pre-committed efficient mean-variance policy and the minimum-variance signed
supermartingale measure (VSSM) and reveal their close relationship. Our
analysis shows that the pre-committed discrete-time efficient mean-variance
policy satisfies TCIE if and only if the conditional expectation of VSSM's
density (with respect to the original probability measure) is nonnegative, or
once the conditional expectation becomes negative, it remains at the same
negative value until the terminal time. Our findings indicate that the property
of time consistency in efficiency only depends on the basic market setting,
including portfolio constraints, and this fact motivates us to establish a
general solution framework in constructing TCIE dynamic portfolio selection
problem formulations by introducing suitable portfolio constraints.

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## 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

Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade

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

Publicado em 01/06/2006
Português

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#Risco Assimétrico#Alocação de Ativos#Semivariância#Fronteira Eficiente#Otimização de Portfólio#Downside Risk#Asset Allocation#Semi-variance#Efficient Frontier#Portfolio Optimization

The traditional mean-variance approach for building efficient portfolios was compared to the downside risk approach that substitutes variance of returns by semi-variance or another lower partial momentum of returns. Empirical investigation searched for efficient frontiers using both approaches and strategies for asset allocation which were simulated for comparison. The downside risk approach was shown to be superior in terms of efficiency when investors had asymmetric preferences related to risk. Further the strategy of minimizing downside risk effectively provided greater protection against losses when compared to the strategy of variance minimization, for asset allocation.; O artigo compara a abordagem tradicional de média-variância na determinação de portfólios eficientes com a abordagem de risco assimétrico (downside risk), que substitui a variância pela semivariância ou outro LPM (Lower Partial Moment). Um estudo empírico é realizado para obter as fronteiras eficientes usando-se ambas as abordagens, e estratégias de alocação de ativos são simuladas e comparadas. Resultados demonstram que, se os investidores possuem preferências assimétricas em relação ao risco, a abordagem de média-semivariância é superior em termos de eficiência. Adicionalmente...

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## About the efficiency of the Brazilian stock indexes; Sobre la eficiencia de los índices de acciones brasileños

Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade

Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Artigo Avaliado pelos Pares
Formato: application/pdf

Publicado em 01/03/2007
Português

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#portfolio efficiency#CAPM#zero-beta CAPM#Wald test#Brazilian stock market indexes#eficiência da carteira#CAPM#zero-beta CAPM#teste Wald#índices brasileiros de ações#eficiencia de la cartera

This paper studies the mean-variance efficiency of some Brazilian stock indexes applied to benchmark passive investment. The efficiency of Ibovespa, IBX50 and FGV100 is exhaustively tested against different sets of portfolios and for different time periods between June 1989 and July 2003, according to the Gibbons, Ross and Shanken's (1989) and Shanken's (1986) approaches. Most of the tests reject the efficiency of these indexes, suggesting they are not suitable benchmarks to passive asset management.; En este artículo, se estudia la eficiencia en media variancia de algunos índices brasileños utilizados como referencia para los fondos pasivos. La eficiencia del Índice de la Bolsa de Valores de São Paulo (Ibovespa), del Índice Brasil (IBX50) y del Índice de la Fundación Getulio Vargas (FGV100) es exhaustivamente probada contra distintos conjuntos de carteras y para diferentes subperíodos durante el intervalo de junio de 1989 a julio de 2003, de acuerdo con el enfoque de Gibbons, Ross y Shanken (1989) y Shanken (1986). La mayor parte de las pruebas rechaza la eficiencia de estos índices y señala su inadecuación como referencia para la gestión pasiva.

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## Understanding portfolio efficiency with conditioning information

Fonte: Financial Markets Group, London School of Economics and Political Science
Publicador: Financial Markets Group, London School of Economics and Political Science

Tipo: Monograph; NonPeerReviewed
Formato: application/pdf

Publicado em /01/2009
Português

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Contrary to the classic framework of passive strategies, if investors exploit return predictability through active strategies then there is a tension between the mean-variance frontiers that drive empirical work and the mean-variance preferences that are used in finance theory. We show that standard preferences choose portfolios on a frontier that has not been studied in the literature, develop new betas and Sharpe ratios to construct portfolio efficiency tests, and highlight some concerns with current empirical work. An empirical application to active strategies on stock portfolios sorted by size and book-to-market confirms the relevance of our theoretical results.

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