Resgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistas

Detalhes bibliográficos
Autor(a) principal: Varanda, Jos?? Henrique de Oliveira
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Biblioteca Digital de Teses e Dissertações da UCB
Texto Completo: https://bdtd.ucb.br:8443/jspui/handle/tede/2493
Resumo: This study evaluates which modifications can restore the theoretical performance of dynamic asset allocation strategies that uses insurance and leverage, specifically those known as Constant Proportion Portfolio Insurance (CPPI), when confronted with realistic premises and scenarios. Simulations using GARCH models are applied to assess the effects of path dependency and volatility on those strategies and to evaluate how selected modifications mitigates those effects. These modifications are tested using the Farinelli- Tibilleti ratio and derivations, like de Upside Potential Ratio. As main finding, the modifications that mitigates path dependency can restore the theoretical performance of portfolio insurance with high significance, making those preferred strategies in relation to Buy-and-Hold (BH) or Constant-Mix (CM) for most investors in several scenarios. This work also presents a novel modification, adapted for the risk-free market in Brazil, that resulted in the best performing portfolio insurance strategy with great significance.
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spelling Mazali, Rog??riohttp://lattes.cnpq.br/9826490036298572http://lattes.cnpq.br/7141894924504516Varanda, Jos?? Henrique de Oliveira2018-11-13T16:00:57Z2018-07-02VARANDA, Jos?? Henrique de Oliveira. Resgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistas. 2018. 61 f. Disserta????o (Programa Stricto Sensu em Economia) - Universidade Cat??lica de Bras??lia, Bras??lia, 2018.https://bdtd.ucb.br:8443/jspui/handle/tede/2493This study evaluates which modifications can restore the theoretical performance of dynamic asset allocation strategies that uses insurance and leverage, specifically those known as Constant Proportion Portfolio Insurance (CPPI), when confronted with realistic premises and scenarios. Simulations using GARCH models are applied to assess the effects of path dependency and volatility on those strategies and to evaluate how selected modifications mitigates those effects. These modifications are tested using the Farinelli- Tibilleti ratio and derivations, like de Upside Potential Ratio. As main finding, the modifications that mitigates path dependency can restore the theoretical performance of portfolio insurance with high significance, making those preferred strategies in relation to Buy-and-Hold (BH) or Constant-Mix (CM) for most investors in several scenarios. This work also presents a novel modification, adapted for the risk-free market in Brazil, that resulted in the best performing portfolio insurance strategy with great significance.Este trabalho avalia quais modifica????es reestabelecem o desempenho te??rico das estrat??gias din??micas de aloca????o de ativos com seguro e alavancagem, denominadas Constant Proportion Portfolio Insurance (CPPI), quando confrontadas com premissas e cen??rios realistas. S??o realizadas simula????es de modelos da fam??lia GARCH, com par??metros estimados do mercado, para exercitar os efeitos da depend??ncia do caminho e da volatilidade nestas estrat??gias e avaliar como as modifica????es selecionadas ajudam a combate-los. A signific??ncia das modifica????es ?? testada pela medida Farinelli-Tibiletti, sobre tudo a combina????o que resulta na raz??o Upside Potential, onde conclui-se que existem modifica????es significantes que s??o capazes de resgatar o desempenho te??rico da estrat??gia CPPI, inclusive tornando-a prefer??vel ??s estrat??gias cl??ssicas Buy-and-Hold (BH) e Constant-Mix (CM) em certos cen??rios. Por fim, o trabalho apresenta uma modifica????o inovadora, derivada do ajuste ?? realidade do mercado brasileiro, que acabou por apresentar o maior n??vel de desempenho relativo do m??todo CPPI, com elevada signific??ncia.Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2018-11-09T18:21:24Z No. of bitstreams: 1 JoseHenriquedeOliveiraVarandaDissertacao2018.pdf: 3107527 bytes, checksum: ea06abcabf1c014758cc880bcf0b0726 (MD5)Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2018-11-13T16:00:57Z (GMT) No. of bitstreams: 1 JoseHenriquedeOliveiraVarandaDissertacao2018.pdf: 3107527 bytes, checksum: ea06abcabf1c014758cc880bcf0b0726 (MD5)Made available in DSpace on 2018-11-13T16:00:57Z (GMT). No. of bitstreams: 1 JoseHenriquedeOliveiraVarandaDissertacao2018.pdf: 3107527 bytes, checksum: ea06abcabf1c014758cc880bcf0b0726 (MD5) Previous issue date: 2018-07-02application/pdfhttps://bdtd.ucb.br:8443/jspui/retrieve/6050/JoseHenriquedeOliveiraVarandaDissertacao2018.pdf.jpgporUniversidade Cat??lica de Bras??liaPrograma Stricto Sensu em Economia de EmpresasUCBBrasilEscola de Gest??o e Neg??ciosAloca????o din??micaInvestidorSegurosAlavancagemGARCHFarinelli-TibilettiConstant Proportion Portfolio Insurance - CPPIUpside Potential RatioDynamic allocationInvestorInsuranceLeverageCNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIAResgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistasinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UCBinstname:Universidade Católica de Brasília (UCB)instacron:UCBLICENSElicense.txtlicense.txttext/plain; charset=utf-81831https://200.214.135.178:8443/jspui/bitstream/tede/2493/1/license.txtd7d5e5ec75089f122abe937645a56120MD51ORIGINALJoseHenriquedeOliveiraVarandaDissertacao2018.pdfJoseHenriquedeOliveiraVarandaDissertacao2018.pdfapplication/pdf3107527https://200.214.135.178:8443/jspui/bitstream/tede/2493/2/JoseHenriquedeOliveiraVarandaDissertacao2018.pdfea06abcabf1c014758cc880bcf0b0726MD52TEXTJoseHenriquedeOliveiraVarandaDissertacao2018.pdf.txtJoseHenriquedeOliveiraVarandaDissertacao2018.pdf.txttext/plain99516https://200.214.135.178:8443/jspui/bitstream/tede/2493/3/JoseHenriquedeOliveiraVarandaDissertacao2018.pdf.txt66de9594e8b4d8b248e282493f6b802dMD53THUMBNAILJoseHenriquedeOliveiraVarandaDissertacao2018.pdf.jpgJoseHenriquedeOliveiraVarandaDissertacao2018.pdf.jpgimage/jpeg5453https://200.214.135.178:8443/jspui/bitstream/tede/2493/4/JoseHenriquedeOliveiraVarandaDissertacao2018.pdf.jpg12f5416020c036ec2084c560889263abMD54tede/24932018-11-14 01:10:11.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Biblioteca Digital de Teses e Dissertaçõeshttps://bdtd.ucb.br:8443/jspui/
dc.title.por.fl_str_mv Resgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistas
title Resgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistas
spellingShingle Resgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistas
Varanda, Jos?? Henrique de Oliveira
Aloca????o din??mica
Investidor
Seguros
Alavancagem
GARCH
Farinelli-Tibiletti
Constant Proportion Portfolio Insurance - CPPI
Upside Potential Ratio
Dynamic allocation
Investor
Insurance
Leverage
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
title_short Resgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistas
title_full Resgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistas
title_fullStr Resgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistas
title_full_unstemmed Resgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistas
title_sort Resgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistas
author Varanda, Jos?? Henrique de Oliveira
author_facet Varanda, Jos?? Henrique de Oliveira
author_role author
dc.contributor.advisor1.fl_str_mv Mazali, Rog??rio
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/9826490036298572
dc.contributor.authorLattes.fl_str_mv http://lattes.cnpq.br/7141894924504516
dc.contributor.author.fl_str_mv Varanda, Jos?? Henrique de Oliveira
contributor_str_mv Mazali, Rog??rio
dc.subject.por.fl_str_mv Aloca????o din??mica
Investidor
Seguros
Alavancagem
GARCH
Farinelli-Tibiletti
topic Aloca????o din??mica
Investidor
Seguros
Alavancagem
GARCH
Farinelli-Tibiletti
Constant Proportion Portfolio Insurance - CPPI
Upside Potential Ratio
Dynamic allocation
Investor
Insurance
Leverage
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
dc.subject.eng.fl_str_mv Constant Proportion Portfolio Insurance - CPPI
Upside Potential Ratio
Dynamic allocation
Investor
Insurance
Leverage
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
dc.description.abstract.eng.fl_txt_mv This study evaluates which modifications can restore the theoretical performance of dynamic asset allocation strategies that uses insurance and leverage, specifically those known as Constant Proportion Portfolio Insurance (CPPI), when confronted with realistic premises and scenarios. Simulations using GARCH models are applied to assess the effects of path dependency and volatility on those strategies and to evaluate how selected modifications mitigates those effects. These modifications are tested using the Farinelli- Tibilleti ratio and derivations, like de Upside Potential Ratio. As main finding, the modifications that mitigates path dependency can restore the theoretical performance of portfolio insurance with high significance, making those preferred strategies in relation to Buy-and-Hold (BH) or Constant-Mix (CM) for most investors in several scenarios. This work also presents a novel modification, adapted for the risk-free market in Brazil, that resulted in the best performing portfolio insurance strategy with great significance.
dc.description.abstract.por.fl_txt_mv Este trabalho avalia quais modifica????es reestabelecem o desempenho te??rico das estrat??gias din??micas de aloca????o de ativos com seguro e alavancagem, denominadas Constant Proportion Portfolio Insurance (CPPI), quando confrontadas com premissas e cen??rios realistas. S??o realizadas simula????es de modelos da fam??lia GARCH, com par??metros estimados do mercado, para exercitar os efeitos da depend??ncia do caminho e da volatilidade nestas estrat??gias e avaliar como as modifica????es selecionadas ajudam a combate-los. A signific??ncia das modifica????es ?? testada pela medida Farinelli-Tibiletti, sobre tudo a combina????o que resulta na raz??o Upside Potential, onde conclui-se que existem modifica????es significantes que s??o capazes de resgatar o desempenho te??rico da estrat??gia CPPI, inclusive tornando-a prefer??vel ??s estrat??gias cl??ssicas Buy-and-Hold (BH) e Constant-Mix (CM) em certos cen??rios. Por fim, o trabalho apresenta uma modifica????o inovadora, derivada do ajuste ?? realidade do mercado brasileiro, que acabou por apresentar o maior n??vel de desempenho relativo do m??todo CPPI, com elevada signific??ncia.
description This study evaluates which modifications can restore the theoretical performance of dynamic asset allocation strategies that uses insurance and leverage, specifically those known as Constant Proportion Portfolio Insurance (CPPI), when confronted with realistic premises and scenarios. Simulations using GARCH models are applied to assess the effects of path dependency and volatility on those strategies and to evaluate how selected modifications mitigates those effects. These modifications are tested using the Farinelli- Tibilleti ratio and derivations, like de Upside Potential Ratio. As main finding, the modifications that mitigates path dependency can restore the theoretical performance of portfolio insurance with high significance, making those preferred strategies in relation to Buy-and-Hold (BH) or Constant-Mix (CM) for most investors in several scenarios. This work also presents a novel modification, adapted for the risk-free market in Brazil, that resulted in the best performing portfolio insurance strategy with great significance.
publishDate 2018
dc.date.accessioned.fl_str_mv 2018-11-13T16:00:57Z
dc.date.issued.fl_str_mv 2018-07-02
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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dc.identifier.citation.fl_str_mv VARANDA, Jos?? Henrique de Oliveira. Resgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistas. 2018. 61 f. Disserta????o (Programa Stricto Sensu em Economia) - Universidade Cat??lica de Bras??lia, Bras??lia, 2018.
dc.identifier.uri.fl_str_mv https://bdtd.ucb.br:8443/jspui/handle/tede/2493
identifier_str_mv VARANDA, Jos?? Henrique de Oliveira. Resgate da otimalidade de estrat??gias de aloca????o din??mica com seguro e alavancagem em cen??rios realistas. 2018. 61 f. Disserta????o (Programa Stricto Sensu em Economia) - Universidade Cat??lica de Bras??lia, Bras??lia, 2018.
url https://bdtd.ucb.br:8443/jspui/handle/tede/2493
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dc.publisher.none.fl_str_mv Universidade Cat??lica de Bras??lia
dc.publisher.program.fl_str_mv Programa Stricto Sensu em Economia de Empresas
dc.publisher.initials.fl_str_mv UCB
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Escola de Gest??o e Neg??cios
publisher.none.fl_str_mv Universidade Cat??lica de Bras??lia
dc.source.none.fl_str_mv reponame:Biblioteca Digital de Teses e Dissertações da UCB
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