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Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach

B. Sabino da Silva, Fernando - 2018

Using data from the S&P 500 stocks from 1990 to 2015, we address the uncertainty of distribution of assets' returns in Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining its robust counterpart. We implement a dynamic...

Persistent link: https://www.econbiz.de/10012931953

Inferência bayesiana aplicada ao modelo dinâmico de Nelson-Siegel com volatilidade estocástica nos fatores

Caldeira, João F.; Laurini, Márcio Poletti; Portugal, … - 2010

Persistent link: https://www.econbiz.de/10008806542

Bayesian inference applied to dynamic Nelson-Siegel model with stochastic volatility

Caldeira, João F.; Laurini, Márcio Poletti; Portugal, … - In: Brazilian review of econometrics : BRE ; the review of … 30 (2010) 1, pp. 123-161

Persistent link: https://www.econbiz.de/10009704732

Measuring risk in fixed income portfolios using yield curve models

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82

Persistent link: https://www.econbiz.de/10011441011

Seleção de carteiras utilizando o modelo Fama-French-Carhart

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Revista brasileira de economia : RBE ; revista da … 67 (2013) 1, pp. 45-65

Persistent link: https://www.econbiz.de/10011443856

Análise de estilo dinâmica de fundos multimercados : aplicação para o mercado brasileiro

Schutt, Isabel Gaio; Caldeira, João F. - In: Análise econômica : revista da Faculdade de Ciências … 34 (2016) 65, pp. 101-129

Persistent link: https://www.econbiz.de/10011548384

Inflação implícita e o prêmio pelo risco : uma alternativa aos modelos VAR na previsão para o IPCA

Caldeira, João F.; Furlani, Luiz G. C. - In: Estudos econômicos : publicação trimestral do … 43 (2013) 4, pp. 627-645

Persistent link: https://www.econbiz.de/10011456135

Foreign portfolio capital flows and stock returns : a study of Brazilian listed firms

Loncan, Tiago Rodrigues; Caldeira, João F. - In: Estudos econômicos : publicação trimestral do … 45 (2015) 4, pp. 859-895

Persistent link: https://www.econbiz.de/10011458121

Selection of minimum variance portfolio using intraday data : an empirical comparison among different realized measures for BM&FBovespa data

Borges, Bruna K.; Caldeira, João F.; Ziegelmann, Flávio A. - In: Brazilian review of econometrics : BRE ; the review of … 35 (2015) 1, pp. 23-46

Persistent link: https://www.econbiz.de/10011538801

Financial integration and the cost of capital : a study of the Brazilian equity market

Loncan, Tiago Rodrigues; Caldeira, João F. - In: International journal of economics and finance 7 (2015) 3, pp. 45-56

Persistent link: https://www.econbiz.de/10010508459