Three essays on macro-finance: robustness and portfolio theory
Autor(a) principal: | |
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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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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 |
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doctoralThesis |
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publishedVersion |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/19926 |
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https://hdl.handle.net/10438/19926 |
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eng |
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eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
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