An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil

Detalhes bibliográficos
Autor(a) principal: Pinheiro, Carlos Alberto Orge
Data de Publicação: 2008
Outros Autores: Matsumoto, Alberto Shigueru, Tabak, Benjamin Miranda
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/629
https://repositorio.ucb.br:9443/jspui/handle/123456789/7626
Resumo: This paper applies the Mean-Semi-variance approach to asset allocation and compares solutions obtained by this model to those derived from the traditional mean-variance model. The results indicate that the risk adjusted return solutions given by the Mean- Semi-variance over perform those from portfolios in the traditional mean-variance model.
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spelling Pinheiro, Carlos Alberto OrgeMatsumoto, Alberto ShigueruTabak, Benjamin Miranda2016-10-10T03:52:08Z2016-10-10T03:52:08Z2008-11PINHEIRO, Carlos Alberto Orge. ; MATSUMOTO, Alberto Shigueru ; TABAK, Benjamin Miranda. An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil. Journal of International Finance and Economics, v. 8, p. 132-135, 2008.http://twingo.ucb.br:8080/jspui/handle/10869/629https://repositorio.ucb.br:9443/jspui/handle/123456789/7626This paper applies the Mean-Semi-variance approach to asset allocation and compares solutions obtained by this model to those derived from the traditional mean-variance model. The results indicate that the risk adjusted return solutions given by the Mean- Semi-variance over perform those from portfolios in the traditional mean-variance model.Made available in DSpace on 2016-10-10T03:52:08Z (GMT). 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dc.title.pt_BR.fl_str_mv An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil
title An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil
spellingShingle An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil
Pinheiro, Carlos Alberto Orge
portfolio management
Markowitz
downside risk
title_short An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil
title_full An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil
title_fullStr An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil
title_full_unstemmed An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil
title_sort An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil
author Pinheiro, Carlos Alberto Orge
author_facet Pinheiro, Carlos Alberto Orge
Matsumoto, Alberto Shigueru
Tabak, Benjamin Miranda
author_role author
author2 Matsumoto, Alberto Shigueru
Tabak, Benjamin Miranda
author2_role author
author
dc.contributor.author.fl_str_mv Pinheiro, Carlos Alberto Orge
Matsumoto, Alberto Shigueru
Tabak, Benjamin Miranda
dc.subject.por.fl_str_mv portfolio management
Markowitz
downside risk
topic portfolio management
Markowitz
downside risk
dc.description.abstract.por.fl_txt_mv This paper applies the Mean-Semi-variance approach to asset allocation and compares solutions obtained by this model to those derived from the traditional mean-variance model. The results indicate that the risk adjusted return solutions given by the Mean- Semi-variance over perform those from portfolios in the traditional mean-variance model.
dc.description.version.pt_BR.fl_txt_mv Sim
dc.description.status.pt_BR.fl_txt_mv Publicado
description This paper applies the Mean-Semi-variance approach to asset allocation and compares solutions obtained by this model to those derived from the traditional mean-variance model. The results indicate that the risk adjusted return solutions given by the Mean- Semi-variance over perform those from portfolios in the traditional mean-variance model.
publishDate 2008
dc.date.issued.fl_str_mv 2008-11
dc.date.accessioned.fl_str_mv 2016-10-10T03:52:08Z
dc.date.available.fl_str_mv 2016-10-10T03:52:08Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
format article
dc.identifier.citation.fl_str_mv PINHEIRO, Carlos Alberto Orge. ; MATSUMOTO, Alberto Shigueru ; TABAK, Benjamin Miranda. An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil. Journal of International Finance and Economics, v. 8, p. 132-135, 2008.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/629
https://repositorio.ucb.br:9443/jspui/handle/123456789/7626
identifier_str_mv PINHEIRO, Carlos Alberto Orge. ; MATSUMOTO, Alberto Shigueru ; TABAK, Benjamin Miranda. An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil. Journal of International Finance and Economics, v. 8, p. 132-135, 2008.
url http://twingo.ucb.br:8080/jspui/handle/10869/629
https://repositorio.ucb.br:9443/jspui/handle/123456789/7626
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language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv Texto
dc.source.none.fl_str_mv reponame:Repositório Institucional da UCB
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