Semivolatility managed portfolios
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/30858 |
Resumo: | Volatility management is still a relevant topic of discussion in the literature, with works arguing both for its efficiency or inefficacy. We study a new framework building on top of this kind of strategy and attempting to solve common critiques on the way they are analysed. By decomposing volatility into its upside and downside components, our constructions allow for better control of both types of risk as they are perceived for the common investor. Leveraging in times of “good” volatility and deleveraging in times of “bad” volatility seems to perform generally better than unmanaged portfolios or even the traditional volatility management. The results point to semivolatility managed portfolios being a fair strategy in active portfolio management, both in a mean-variance or mean-semivariance framework. |
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Silva, Daniel Batista daEscolas::EESPMedeiros, MarceloRibeiro, RuyMoreira, AlanFernandes, Marcelo2021-07-21T17:30:33Z2021-07-21T17:30:33Z2021-06-22https://hdl.handle.net/10438/30858Volatility management is still a relevant topic of discussion in the literature, with works arguing both for its efficiency or inefficacy. We study a new framework building on top of this kind of strategy and attempting to solve common critiques on the way they are analysed. By decomposing volatility into its upside and downside components, our constructions allow for better control of both types of risk as they are perceived for the common investor. Leveraging in times of “good” volatility and deleveraging in times of “bad” volatility seems to perform generally better than unmanaged portfolios or even the traditional volatility management. The results point to semivolatility managed portfolios being a fair strategy in active portfolio management, both in a mean-variance or mean-semivariance framework.Volatility management ainda é um tema de discussão relevante na literatura, com trabalhos argumentando tanto pela sua eficiência como pela sua ineficácia. Estudamos este tipo de estratégia e tentamos resolver críticas frequentes sobre a forma como estas são analisadas. Ao decompor a volatilidade em seus componentes positivos (upside) e negativos (downside), as nossas construções permitem um melhor controle de ambos os tipos de risco tal como são percebidos para o investidor comum. Alavancar em tempos de volatilidade “boa” e diminuir a exposição em tempos de volatilidade “ruim” parece funcionar geralmente melhor do que carteiras não geridas ou mesmo a tradicional gestão da volatilidade. Os resultados apontam para que as carteiras geridas utilizando semivolatilidade como medidas de risco sejam estratégias decentes na gestão ativa de carteiras, tanto num ponto de vista de média-variância como de média-semivariância.engPortfolio managementDownside volatilityRealized measuresSemivariancesGestão de carteirasRisco negativoMedidas realizadasSemivariânciasEconomiaCarteiras (Finanças) - AdministraçãoAdministração de riscoVolatilidade (Finanças)InvestimentosSemivolatility managed portfoliosinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALFinal.pdfFinal.pdfPDFapplication/pdf613797https://repositorio.fgv.br/bitstreams/2d4dc0f0-c0b7-44f8-aa82-c72d95457f11/download82bcb953ab3cf0b72257b6a46db8db9bMD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv |
Semivolatility managed portfolios |
title |
Semivolatility managed portfolios |
spellingShingle |
Semivolatility managed portfolios Silva, Daniel Batista da Portfolio management Downside volatility Realized measures Semivariances Gestão de carteiras Risco negativo Medidas realizadas Semivariâncias Economia Carteiras (Finanças) - Administração Administração de risco Volatilidade (Finanças) Investimentos |
title_short |
Semivolatility managed portfolios |
title_full |
Semivolatility managed portfolios |
title_fullStr |
Semivolatility managed portfolios |
title_full_unstemmed |
Semivolatility managed portfolios |
title_sort |
Semivolatility managed portfolios |
author |
Silva, Daniel Batista da |
author_facet |
Silva, Daniel Batista da |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Medeiros, Marcelo Ribeiro, Ruy Moreira, Alan |
dc.contributor.author.fl_str_mv |
Silva, Daniel Batista da |
dc.contributor.advisor1.fl_str_mv |
Fernandes, Marcelo |
contributor_str_mv |
Fernandes, Marcelo |
dc.subject.eng.fl_str_mv |
Portfolio management Downside volatility Realized measures Semivariances |
topic |
Portfolio management Downside volatility Realized measures Semivariances Gestão de carteiras Risco negativo Medidas realizadas Semivariâncias Economia Carteiras (Finanças) - Administração Administração de risco Volatilidade (Finanças) Investimentos |
dc.subject.por.fl_str_mv |
Gestão de carteiras Risco negativo Medidas realizadas Semivariâncias |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Carteiras (Finanças) - Administração Administração de risco Volatilidade (Finanças) Investimentos |
description |
Volatility management is still a relevant topic of discussion in the literature, with works arguing both for its efficiency or inefficacy. We study a new framework building on top of this kind of strategy and attempting to solve common critiques on the way they are analysed. By decomposing volatility into its upside and downside components, our constructions allow for better control of both types of risk as they are perceived for the common investor. Leveraging in times of “good” volatility and deleveraging in times of “bad” volatility seems to perform generally better than unmanaged portfolios or even the traditional volatility management. The results point to semivolatility managed portfolios being a fair strategy in active portfolio management, both in a mean-variance or mean-semivariance framework. |
publishDate |
2021 |
dc.date.accessioned.fl_str_mv |
2021-07-21T17:30:33Z |
dc.date.available.fl_str_mv |
2021-07-21T17:30:33Z |
dc.date.issued.fl_str_mv |
2021-06-22 |
dc.type.status.fl_str_mv |
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dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
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masterThesis |
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dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/30858 |
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https://hdl.handle.net/10438/30858 |
dc.language.iso.fl_str_mv |
eng |
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eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
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