Otimização de portfólios de comercialização de energia no Brasil

Detalhes bibliográficos
Autor(a) principal: Ribeiro, Mário Guerreiro
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/18536
Resumo: The portfolio optimization analysis for quite some time was built around the variance measure. This approach is adequate when the assets returns are normaly distributed. However, in asymmetric or heavy-tailed distributions, the same weight cannot be given to the two tails of the distribution, what requires the use of other risk measures. One of the most known and widespread is VaR, but it cannot capture extreme events, is not a coherent measure and has optimization problems. For these reasons, the dissertation addresses the CVaR on the portfolio optimization for the Brazilian electric power sector.
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spelling Ribeiro, Mário GuerreiroEscolas::EPGEFGVAyala, Gustavo Alberto AmaralMello, João Carlos de OliveiraGonçalves, Edson Daniel Lopes2017-07-27T13:48:38Z2017-07-27T13:48:38Z2017-05-22RIBEIRO, Mário Guerreiro. Otimização de portfólios de comercialização de energia no Brasil. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2017.http://hdl.handle.net/10438/18536The portfolio optimization analysis for quite some time was built around the variance measure. This approach is adequate when the assets returns are normaly distributed. However, in asymmetric or heavy-tailed distributions, the same weight cannot be given to the two tails of the distribution, what requires the use of other risk measures. One of the most known and widespread is VaR, but it cannot capture extreme events, is not a coherent measure and has optimization problems. For these reasons, the dissertation addresses the CVaR on the portfolio optimization for the Brazilian electric power sector.A análise da otimização de carteiras por muito tempo foi pautada na medida da variância. Essa abordagem é propícia quando os retornos dos ativos são normais. Porém, em distribuições assimétricas ou com caudas pesadas não se pode dar o mesmo peso para as duas extremidades da distribuição, levando a necessidade da utilização de outras medidas de risco. Uma das mais conhecidas e difundidas é o VaR, porém o mesmo não consegue capturar eventos extremos, além de não ser uma medida coerente e possuir problemas de otimização. Por esses motivos, o CVaR é abordado para o caso da otimização de portfólios do setor de energia elétrica brasileiro.porOtimização de portfóliosCVARVARFinançasInvestimentosRisco (Economia)Energia - BrasilOtimização de portfólios de comercialização de energia no Brasilinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXTTese_MGuerreiro_Versao final.pdf.txtTese_MGuerreiro_Versao final.pdf.txtExtracted texttext/plain103841https://repositorio.fgv.br/bitstreams/5f9188b4-0a69-4397-b2ad-de8cda10ff8b/download62f3c2eef752fe4827492bc32cd43e58MD57ORIGINALTese_MGuerreiro_Versao final.pdfTese_MGuerreiro_Versao final.pdfapplication/pdf1679486https://repositorio.fgv.br/bitstreams/9d848988-820a-4efd-8e32-d9129bf1c1e2/download41cba20a3ce6b5eaeeb08b44f89fd439MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.por.fl_str_mv Otimização de portfólios de comercialização de energia no Brasil
title Otimização de portfólios de comercialização de energia no Brasil
spellingShingle Otimização de portfólios de comercialização de energia no Brasil
Ribeiro, Mário Guerreiro
Otimização de portfólios
CVAR
VAR
Finanças
Investimentos
Risco (Economia)
Energia - Brasil
title_short Otimização de portfólios de comercialização de energia no Brasil
title_full Otimização de portfólios de comercialização de energia no Brasil
title_fullStr Otimização de portfólios de comercialização de energia no Brasil
title_full_unstemmed Otimização de portfólios de comercialização de energia no Brasil
title_sort Otimização de portfólios de comercialização de energia no Brasil
author Ribeiro, Mário Guerreiro
author_facet Ribeiro, Mário Guerreiro
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.member.none.fl_str_mv Ayala, Gustavo Alberto Amaral
Mello, João Carlos de Oliveira
dc.contributor.author.fl_str_mv Ribeiro, Mário Guerreiro
dc.contributor.advisor1.fl_str_mv Gonçalves, Edson Daniel Lopes
contributor_str_mv Gonçalves, Edson Daniel Lopes
dc.subject.por.fl_str_mv Otimização de portfólios
CVAR
topic Otimização de portfólios
CVAR
VAR
Finanças
Investimentos
Risco (Economia)
Energia - Brasil
dc.subject.eng.fl_str_mv VAR
dc.subject.area.por.fl_str_mv Finanças
dc.subject.bibliodata.por.fl_str_mv Investimentos
Risco (Economia)
Energia - Brasil
description The portfolio optimization analysis for quite some time was built around the variance measure. This approach is adequate when the assets returns are normaly distributed. However, in asymmetric or heavy-tailed distributions, the same weight cannot be given to the two tails of the distribution, what requires the use of other risk measures. One of the most known and widespread is VaR, but it cannot capture extreme events, is not a coherent measure and has optimization problems. For these reasons, the dissertation addresses the CVaR on the portfolio optimization for the Brazilian electric power sector.
publishDate 2017
dc.date.accessioned.fl_str_mv 2017-07-27T13:48:38Z
dc.date.available.fl_str_mv 2017-07-27T13:48:38Z
dc.date.issued.fl_str_mv 2017-05-22
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv RIBEIRO, Mário Guerreiro. Otimização de portfólios de comercialização de energia no Brasil. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2017.
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/18536
identifier_str_mv RIBEIRO, Mário Guerreiro. Otimização de portfólios de comercialização de energia no Brasil. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2017.
url http://hdl.handle.net/10438/18536
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