Robust Statistical modeling portfolios

Detalhes bibliográficos
Autor(a) principal: Mendes, Beatriz Vaz de Melo
Data de Publicação: 2002
Outros Autores: Leal, Ricardo Pereira Câmara
Tipo de documento: Relatório
Idioma: eng
Título da fonte: Repositório Institucional da UFRJ
Texto Completo: http://hdl.handle.net/11422/9270
Resumo: Indisponível.
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spelling Mendes, Beatriz Vaz de MeloLeal, Ricardo Pereira Câmara2019-08-30T16:01:12Z2023-11-30T03:00:59Z2002MENDES, Beatriz Vaz de Melo; LEAL, Ricardo Pereira Câmara. Robust Statistical modeling portfolios. Rio de Janeiro: UFRJ, 2002. 30 p. (Relatórios COPPEAD, 355).85750803691518-3335http://hdl.handle.net/11422/9270Indisponível.The bottom line in many statistical analysis in finance is the basic issue of modeling a set of multivariate data. Financial data are characterized by their fat tails containing some proportion of extreme observations. We propose a simple model able to capture these main characteristics, and to provide a good fit for the bulk of the data as well as for the atypical observations. Basically, we use a robust covariance estimator to define the center and orientations of the data, and the classical sample covariance to estimate how inflated could tins distribution be by the effect of extreme observations. Estimation of the model is done either empirically or by maximum likelihood based on elliptical distributions. Simulation experiments verified the adequacy of the model to real data. We provide illustrations of the usefulness of the proposed procedure, in particular when constructing efficient frontiers. We show that robust portfolios may yield higher cumulative returns and have more stable weights compositions.Submitted by Anderson Luiz Cardoso Rodrigues (andersonlcr@hotmail.com) on 2019-08-30T16:01:12Z No. of bitstreams: 1 RC_355-Comp..pdf: 698776 bytes, checksum: 83c44ca02dc0e60e1448fe11fbf05704 (MD5)Made available in DSpace on 2019-08-30T16:01:12Z (GMT). No. of bitstreams: 1 RC_355-Comp..pdf: 698776 bytes, checksum: 83c44ca02dc0e60e1448fe11fbf05704 (MD5) Previous issue date: 2002engUniversidade Federal do Rio de JaneiroUFRJBrasilInstituto COPPEAD de AdministraçãoRelatórios COPPEADCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOFinançasWorking paperRobust Statistical modeling portfoliosinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/report355abertoinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRJinstname:Universidade Federal do Rio de Janeiro (UFRJ)instacron:UFRJORIGINALRC_355-Comp..pdfRC_355-Comp..pdfapplication/pdf698776http://pantheon.ufrj.br:80/bitstream/11422/9270/1/RC_355-Comp..pdf83c44ca02dc0e60e1448fe11fbf05704MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-81853http://pantheon.ufrj.br:80/bitstream/11422/9270/2/license.txtdd32849f2bfb22da963c3aac6e26e255MD5211422/92702023-11-30 00:00:59.105oai: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 Robust Statistical modeling portfolios
title Robust Statistical modeling portfolios
spellingShingle Robust Statistical modeling portfolios
Mendes, Beatriz Vaz de Melo
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Working paper
title_short Robust Statistical modeling portfolios
title_full Robust Statistical modeling portfolios
title_fullStr Robust Statistical modeling portfolios
title_full_unstemmed Robust Statistical modeling portfolios
title_sort Robust Statistical modeling portfolios
author Mendes, Beatriz Vaz de Melo
author_facet Mendes, Beatriz Vaz de Melo
Leal, Ricardo Pereira Câmara
author_role author
author2 Leal, Ricardo Pereira Câmara
author2_role author
dc.contributor.author.fl_str_mv Mendes, Beatriz Vaz de Melo
Leal, Ricardo Pereira Câmara
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
topic CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Working paper
dc.subject.por.fl_str_mv Finanças
dc.subject.eng.fl_str_mv Working paper
description Indisponível.
publishDate 2002
dc.date.issued.fl_str_mv 2002
dc.date.accessioned.fl_str_mv 2019-08-30T16:01:12Z
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 MENDES, Beatriz Vaz de Melo; LEAL, Ricardo Pereira Câmara. Robust Statistical modeling portfolios. Rio de Janeiro: UFRJ, 2002. 30 p. (Relatórios COPPEAD, 355).
dc.identifier.uri.fl_str_mv http://hdl.handle.net/11422/9270
dc.identifier.isbn.pt_BR.fl_str_mv 8575080369
dc.identifier.issn.pt_BR.fl_str_mv 1518-3335
identifier_str_mv MENDES, Beatriz Vaz de Melo; LEAL, Ricardo Pereira Câmara. Robust Statistical modeling portfolios. Rio de Janeiro: UFRJ, 2002. 30 p. (Relatórios COPPEAD, 355).
8575080369
1518-3335
url http://hdl.handle.net/11422/9270
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/11422/9270/1/RC_355-Comp..pdf
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