Using robust portfolios techniques in emerging markets

Detalhes bibliográficos
Autor(a) principal: Leal, Ricardo Pereira Câmara
Data de Publicação: 2003
Outros Autores: Mendes, Beatriz Vaz de Melo
Tipo de documento: Relatório
Idioma: eng
Título da fonte: Repositório Institucional da UFRJ
Texto Completo: http://hdl.handle.net/11422/9276
Resumo: Indisponível.
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spelling Leal, Ricardo Pereira CâmaraMendes, Beatriz Vaz de Melo2019-08-30T18:18:40Z2023-11-30T03:00:59Z2003LEAL, Ricardo Pereira Câmara; MENDES, Beatriz Vaz de Melo. Using robust portfolios techniques in emerging markets. Rio de Janeiro: UFRJ, 2003. 18 p. (Relatórios COPPEAD, 357).85750804821518-3335http://hdl.handle.net/11422/9276Indisponível.Financial data are heavy tailed containing some proportion of extreme observations. We propose to use a robust covariance estimator to define the center and orientation of the data. We provide an illustration of the usefulness of the proposed procedure to efficiently allocate among emerging stock markets. We show that the resulting robust portfolios may yield higher cumulative returns and have more stable weights. We strongly recommend that a robust covariance matrix is used to solve emerging stock markets allocation problems. We believe that our technique has a key advantage. Because all we change is the covariance matrix, we can use any commercially available optimizer to obtain robust portfolio weights.Submitted by Anderson Luiz Cardoso Rodrigues (andersonlcr@hotmail.com) on 2019-08-30T18:18:40Z No. of bitstreams: 1 RC_357-Comp..pdf: 96334 bytes, checksum: d3a1731ad6a624c1d9dd2d98ca5aa65e (MD5)Made available in DSpace on 2019-08-30T18:18:40Z (GMT). No. of bitstreams: 1 RC_357-Comp..pdf: 96334 bytes, checksum: d3a1731ad6a624c1d9dd2d98ca5aa65e (MD5) Previous issue date: 2003engUniversidade Federal do Rio de JaneiroUFRJBrasilInstituto COPPEAD de AdministraçãoRelatórios COPPEADCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOFinançasTítulos (Finanças)InvestimentosWorking paperUsing robust portfolios techniques in emerging marketsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/report357abertoinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRJinstname:Universidade Federal do Rio de Janeiro (UFRJ)instacron:UFRJLICENSElicense.txtlicense.txttext/plain; charset=utf-81853http://pantheon.ufrj.br:80/bitstream/11422/9276/2/license.txtdd32849f2bfb22da963c3aac6e26e255MD52ORIGINALRC_357-Comp..pdfRC_357-Comp..pdfapplication/pdf96334http://pantheon.ufrj.br:80/bitstream/11422/9276/1/RC_357-Comp..pdfd3a1731ad6a624c1d9dd2d98ca5aa65eMD5111422/92762023-11-30 00:00:59.226oai:pantheon.ufrj.br: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Repositório de PublicaçõesPUBhttp://www.pantheon.ufrj.br/oai/requestopendoar:2023-11-30T03:00:59Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ)false
dc.title.en.fl_str_mv Using robust portfolios techniques in emerging markets
title Using robust portfolios techniques in emerging markets
spellingShingle Using robust portfolios techniques in emerging markets
Leal, Ricardo Pereira Câmara
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Títulos (Finanças)
Investimentos
Working paper
title_short Using robust portfolios techniques in emerging markets
title_full Using robust portfolios techniques in emerging markets
title_fullStr Using robust portfolios techniques in emerging markets
title_full_unstemmed Using robust portfolios techniques in emerging markets
title_sort Using robust portfolios techniques in emerging markets
author Leal, Ricardo Pereira Câmara
author_facet Leal, Ricardo Pereira Câmara
Mendes, Beatriz Vaz de Melo
author_role author
author2 Mendes, Beatriz Vaz de Melo
author2_role author
dc.contributor.author.fl_str_mv Leal, Ricardo Pereira Câmara
Mendes, Beatriz Vaz de Melo
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
topic CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Títulos (Finanças)
Investimentos
Working paper
dc.subject.por.fl_str_mv Finanças
Títulos (Finanças)
Investimentos
dc.subject.eng.fl_str_mv Working paper
description Indisponível.
publishDate 2003
dc.date.issued.fl_str_mv 2003
dc.date.accessioned.fl_str_mv 2019-08-30T18:18:40Z
dc.date.available.fl_str_mv 2023-11-30T03:00:59Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/report
format report
status_str publishedVersion
dc.identifier.citation.fl_str_mv LEAL, Ricardo Pereira Câmara; MENDES, Beatriz Vaz de Melo. Using robust portfolios techniques in emerging markets. Rio de Janeiro: UFRJ, 2003. 18 p. (Relatórios COPPEAD, 357).
dc.identifier.uri.fl_str_mv http://hdl.handle.net/11422/9276
dc.identifier.isbn.pt_BR.fl_str_mv 8575080482
dc.identifier.issn.pt_BR.fl_str_mv 1518-3335
identifier_str_mv LEAL, Ricardo Pereira Câmara; MENDES, Beatriz Vaz de Melo. Using robust portfolios techniques in emerging markets. Rio de Janeiro: UFRJ, 2003. 18 p. (Relatórios COPPEAD, 357).
8575080482
1518-3335
url http://hdl.handle.net/11422/9276
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartof.pt_BR.fl_str_mv Relatórios COPPEAD
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
dc.publisher.initials.fl_str_mv UFRJ
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Instituto COPPEAD de Administração
publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFRJ
instname:Universidade Federal do Rio de Janeiro (UFRJ)
instacron:UFRJ
instname_str Universidade Federal do Rio de Janeiro (UFRJ)
instacron_str UFRJ
institution UFRJ
reponame_str Repositório Institucional da UFRJ
collection Repositório Institucional da UFRJ
bitstream.url.fl_str_mv http://pantheon.ufrj.br:80/bitstream/11422/9276/2/license.txt
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