Narrow search
Showing 1 - 10 of 166,313
Cover Image
The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR
Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50
This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial … investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …
Persistent link: https://www.econbiz.de/10012887711
Cover Image
Beating the market with small portfolios: Evidence from Brazil
Santos, André A.P. - In: EconomiA 16 (2015) 1, pp. 22-31
Optimal portfolios with a restriction on the number of assets, also referred to as cardinality-constrained portfolios, have been receiving attention in the literature due to its popularity among market practitioners and retail investors. In most cases, however, the interest is in proposing...
Persistent link: https://www.econbiz.de/10011858425
Cover Image
Portfolio management using realized covariances : evidence from Brazil
Caldeira, João F.; Moura, Guilherme Valle; Perlin, … - In: Economia : revista da ANPEC 18 (2017) 3, pp. 328-343
It is often argued that intraday returns can be used to construct covariance estimates that are more accurate than those based on daily returns. However, it is still unclear whether high frequency data provide more precise covariance estimates in markets more contaminated from microstructure...
Persistent link: https://www.econbiz.de/10011866468
Cover Image
Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung : Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und ein...
Dannenberg, Henry - 2009
Bei der Kreditrisikobewertung müssen die Parameter Ausfallwahrscheinlichkeit und korrelation geschätzt werden. Diese Schätzung erfolgt unter Unsicherheit. In der Literatur werden asymptotische Konfidenzregionen diskutiert, um diese Unsicherheit bei der simultanen Schätzung beider Parameter...
Persistent link: https://www.econbiz.de/10003825755
Cover Image
An estimation error corrected Sharpe ratio using bootstrap resampling
Skrepnek, Grant Harold; Sahai, Ashok - In: Journal of applied finance & banking 1 (2011) 2, pp. 189-206
with Sharpe's ratio, offering an approach to point and confidence interval estimation which employs bootstrap resampling …, coverage error, length, and relative bias of confidence intervals. -- Sharpe ratio ; bootstrap resampling ; relative efficiency …
Persistent link: https://www.econbiz.de/10009536151
Cover Image
Robust Bootstrap Densities for Dynamic Conditional Correlations : Implications for Portfolio Selection and Value-at-Risk
Trucíos, Carlos - 2017
the uncertainty is measured using bootstrap methods. We also propose a bootstrap procedure to obtain forecast densities …
Persistent link: https://www.econbiz.de/10012956168
Cover Image
Performance of mutual equity funds in Brazil : a bootstrap analysis
Laes, Marco Antonio; Silva, Marcos Eugênio da - In: Economia : revista da ANPEC 15 (2014) 3, pp. 294-306
This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For … the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied …
Persistent link: https://www.econbiz.de/10011865316
Cover Image
Factors Influencing Brazilian Value Investing Portfolios
Holloway, Pedro - 2013
This study contributes to research on value investing in Brazil, analyzing the Brazilian funds that adopt this …
Persistent link: https://www.econbiz.de/10013072656
Cover Image
Investors' behavior and mutual fund portfolio allocations in Brazil during the global financial crisis
Linardi, Fernando de Menezes - In: Latin American journal of central banking : LAJCB 1 (2020) 1/4, pp. 1-17
In this paper, I examine the flow and performance of mutual funds in Brazil and their portfolio allocations during the …
Persistent link: https://www.econbiz.de/10012545591
Cover Image
Factors influencing Brazilian value investing portfolios
Holloway, Pedro; Rochman, Ricardo; Laes, Marco - In: Journal of economics, finance & administrative science 18 (2013), pp. 18-22
This study contributes to research on value investing in Brazil, analyzing the Brazilian funds that adopt this …
Persistent link: https://www.econbiz.de/10011872379