The role of dispersion into assets allocation

Detalhes bibliográficos
Autor(a) principal: Colella, Edoardo
Data de Publicação: 2016
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/16783
Resumo: Dispersion of returns has gained a lot of attention as a measure to distinguish good and bad investment opportunities time. In the following dissertation, the cross-sectional returns volatility is analyzed over a fifteen year period across the S&P100 Index composition. The main inference drawn from the data sample is that the canonical measure of dispersion is highly macro-risk driven and therefore more biased towards returns volatility rather than its correlation component.
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spelling The role of dispersion into assets allocationReturns dispersionPairwise correlationVolatilityDomínio/Área Científica::Ciências Sociais::Economia e GestãoDispersion of returns has gained a lot of attention as a measure to distinguish good and bad investment opportunities time. In the following dissertation, the cross-sectional returns volatility is analyzed over a fifteen year period across the S&P100 Index composition. The main inference drawn from the data sample is that the canonical measure of dispersion is highly macro-risk driven and therefore more biased towards returns volatility rather than its correlation component.Lameira, PedroRUNColella, Edoardo2016-03-15T11:10:18Z2016-012016-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/16783TID:201529572enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:53:59Zoai:run.unl.pt:10362/16783Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:23:30.683677Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The role of dispersion into assets allocation
title The role of dispersion into assets allocation
spellingShingle The role of dispersion into assets allocation
Colella, Edoardo
Returns dispersion
Pairwise correlation
Volatility
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The role of dispersion into assets allocation
title_full The role of dispersion into assets allocation
title_fullStr The role of dispersion into assets allocation
title_full_unstemmed The role of dispersion into assets allocation
title_sort The role of dispersion into assets allocation
author Colella, Edoardo
author_facet Colella, Edoardo
author_role author
dc.contributor.none.fl_str_mv Lameira, Pedro
RUN
dc.contributor.author.fl_str_mv Colella, Edoardo
dc.subject.por.fl_str_mv Returns dispersion
Pairwise correlation
Volatility
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Returns dispersion
Pairwise correlation
Volatility
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Dispersion of returns has gained a lot of attention as a measure to distinguish good and bad investment opportunities time. In the following dissertation, the cross-sectional returns volatility is analyzed over a fifteen year period across the S&P100 Index composition. The main inference drawn from the data sample is that the canonical measure of dispersion is highly macro-risk driven and therefore more biased towards returns volatility rather than its correlation component.
publishDate 2016
dc.date.none.fl_str_mv 2016-03-15T11:10:18Z
2016-01
2016-01-01T00:00:00Z
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.uri.fl_str_mv http://hdl.handle.net/10362/16783
TID:201529572
url http://hdl.handle.net/10362/16783
identifier_str_mv TID:201529572
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.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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