Three essays on macro-finance: robustness and portfolio theory

Detalhes bibliográficos
Autor(a) principal: Guimarães, Pedro Henrique Engel
Data de Publicação: 2017
Tipo de documento: Tese
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/19926
Resumo: This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries including both Advanced Economies (AE) and Emerging Markets (EM). In the second article, we develop a general robust allocation framework that is capable of dealing with parametric and non parametric asset allocation models. In the final paper, I investigate portfolio selection criteria and analyze a set of portfolios out of sample performance in terms of Sharpe ratio (SR) and Certainty Equivalent (CEQ).
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spelling Guimarães, Pedro Henrique EngelEscolas::EPGECosta, Carlos Eugênio Ellery Lustosa daBraido, Luís Henrique BertolinoSantos, André Alves PortelaGiovannetti, Bruno CaraAlmeida, Caio Ibsen Rodrigues de2018-01-16T19:08:33Z2018-01-16T19:08:33Z2017-07-28https://hdl.handle.net/10438/19926This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries including both Advanced Economies (AE) and Emerging Markets (EM). In the second article, we develop a general robust allocation framework that is capable of dealing with parametric and non parametric asset allocation models. In the final paper, I investigate portfolio selection criteria and analyze a set of portfolios out of sample performance in terms of Sharpe ratio (SR) and Certainty Equivalent (CEQ).engRisk aversionModel uncertaintyEquity premium puzzleDetection error probabilityCosts of model uncertaintyAdvanced economiesEmerging marketEconomiaInvestimentosRisco (Economia)Mercado financeiroThree essays on macro-finance: robustness and portfolio theoryinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTTese.pdf.txtTese.pdf.txtExtracted 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dc.title.eng.fl_str_mv Three essays on macro-finance: robustness and portfolio theory
title Three essays on macro-finance: robustness and portfolio theory
spellingShingle Three essays on macro-finance: robustness and portfolio theory
Guimarães, Pedro Henrique Engel
Risk aversion
Model uncertainty
Equity premium puzzle
Detection error probability
Costs of model uncertainty
Advanced economies
Emerging market
Economia
Investimentos
Risco (Economia)
Mercado financeiro
title_short Three essays on macro-finance: robustness and portfolio theory
title_full Three essays on macro-finance: robustness and portfolio theory
title_fullStr Three essays on macro-finance: robustness and portfolio theory
title_full_unstemmed Three essays on macro-finance: robustness and portfolio theory
title_sort Three essays on macro-finance: robustness and portfolio theory
author Guimarães, Pedro Henrique Engel
author_facet Guimarães, Pedro Henrique Engel
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.member.none.fl_str_mv Costa, Carlos Eugênio Ellery Lustosa da
Braido, Luís Henrique Bertolino
Santos, André Alves Portela
Giovannetti, Bruno Cara
dc.contributor.author.fl_str_mv Guimarães, Pedro Henrique Engel
dc.contributor.advisor1.fl_str_mv Almeida, Caio Ibsen Rodrigues de
contributor_str_mv Almeida, Caio Ibsen Rodrigues de
dc.subject.eng.fl_str_mv Risk aversion
Model uncertainty
Equity premium puzzle
Detection error probability
Costs of model uncertainty
Advanced economies
Emerging market
topic Risk aversion
Model uncertainty
Equity premium puzzle
Detection error probability
Costs of model uncertainty
Advanced economies
Emerging market
Economia
Investimentos
Risco (Economia)
Mercado financeiro
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Investimentos
Risco (Economia)
Mercado financeiro
description This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries including both Advanced Economies (AE) and Emerging Markets (EM). In the second article, we develop a general robust allocation framework that is capable of dealing with parametric and non parametric asset allocation models. In the final paper, I investigate portfolio selection criteria and analyze a set of portfolios out of sample performance in terms of Sharpe ratio (SR) and Certainty Equivalent (CEQ).
publishDate 2017
dc.date.issued.fl_str_mv 2017-07-28
dc.date.accessioned.fl_str_mv 2018-01-16T19:08:33Z
dc.date.available.fl_str_mv 2018-01-16T19:08:33Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/doctoralThesis
format doctoralThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/19926
url https://hdl.handle.net/10438/19926
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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