Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno

Detalhes bibliográficos
Autor(a) principal: Pereira, Pedro L. Valls
Data de Publicação: 2009
Tipo de documento: Artigo
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/2187
Resumo: This paper investigated the properties of equity portfolios under mean-variance framework and built on statistically robust estimates of risk and return. The motivation for this approach is that financial data contains more outliers and fatter tails than that predicted from a normal distribution. Portfolio stability properties and Sharpe ratio of returns were used to compare different portfolios that came out from the classical (where risk and return were estimated by the maximum likelihood estimator) and robust estimates of risk and return. Robust portfolios are more stable than the classical ones but their Sharpe ratio of returns is no different from their classical counter-part
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spelling Pereira, Pedro L. VallsEscolas::EESP2009-01-26T13:31:05Z2009-01-26T13:31:05Z2009-01-26http://hdl.handle.net/10438/2187This paper investigated the properties of equity portfolios under mean-variance framework and built on statistically robust estimates of risk and return. The motivation for this approach is that financial data contains more outliers and fatter tails than that predicted from a normal distribution. Portfolio stability properties and Sharpe ratio of returns were used to compare different portfolios that came out from the classical (where risk and return were estimated by the maximum likelihood estimator) and robust estimates of risk and return. Robust portfolios are more stable than the classical ones but their Sharpe ratio of returns is no different from their classical counter-partEste trabalho examinou as características de carteiras compostas por ações e otimizadas segundo o critério de média-variância e formadas através de estimativas robustas de risco e retorno. A motivação para isto é a distribuição típica de ativos financeiros (que apresenta outliers e mais curtose que a distribuição normal). Para comparação entre as carteiras, foram consideradas suas propriedades: estabilidade, variabilidade e os índices de Sharpe obtidos pelas mesmas. O resultado geral mostra que estas carteiras obtidas através de estimativas robustas de risco e retorno apresentam melhoras em sua estabilidade e variabilidade, no entanto, esta melhora é insuficiente para diferenciar os índices de Sharpe alcançados pelas mesmas das carteiras obtidas através de método de máxima verossimilhança para estimativas de risco e retorno.porTextos para discussão - EESP ; 180Modern portfolio theoryOutliersRobust statisticEconomiaEstatística robustaComparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retornoinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTD 180 Pedro Valls.pdfTD 180 Pedro 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dc.title.por.fl_str_mv Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno
title Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno
spellingShingle Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno
Pereira, Pedro L. Valls
Modern portfolio theory
Outliers
Robust statistic
Economia
Estatística robusta
title_short Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno
title_full Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno
title_fullStr Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno
title_full_unstemmed Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno
title_sort Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno
author Pereira, Pedro L. Valls
author_facet Pereira, Pedro L. Valls
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.author.fl_str_mv Pereira, Pedro L. Valls
dc.subject.eng.fl_str_mv Modern portfolio theory
Outliers
Robust statistic
topic Modern portfolio theory
Outliers
Robust statistic
Economia
Estatística robusta
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Estatística robusta
description This paper investigated the properties of equity portfolios under mean-variance framework and built on statistically robust estimates of risk and return. The motivation for this approach is that financial data contains more outliers and fatter tails than that predicted from a normal distribution. Portfolio stability properties and Sharpe ratio of returns were used to compare different portfolios that came out from the classical (where risk and return were estimated by the maximum likelihood estimator) and robust estimates of risk and return. Robust portfolios are more stable than the classical ones but their Sharpe ratio of returns is no different from their classical counter-part
publishDate 2009
dc.date.accessioned.fl_str_mv 2009-01-26T13:31:05Z
dc.date.available.fl_str_mv 2009-01-26T13:31:05Z
dc.date.issued.fl_str_mv 2009-01-26
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/2187
url http://hdl.handle.net/10438/2187
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dc.relation.ispartofseries.por.fl_str_mv Textos para discussão - EESP ; 180
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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