Asset Allocation Strategies
Mostrando 1-8 de 8 artigos, teses e dissertações.
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1. PERFORMANCE COMPARISON OF SCENARIO-GENERATION METHODS APPLIED TO A STOCHASTIC OPTIMIZATION ASSET-LIABILITY MANAGEMENT MODEL
ABSTRACT In this paper, we provide an empirical discussion of the differences among some scenario tree-generation approaches for stochastic programming. We consider the classical Monte Carlo sampling and Moment matching methods. Moreover, we test the Resampled average approximation, which is an adaptation of Monte Carlo sampling and Monte Carlo with naive al
Pesqui. Oper.. Publicado em: 2018-04
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2. Alocação de ativos para fundos de previdência complementar no Brasil / Pension funds asset allocation in Brazil
The purpose of this study was to analyze the impact of uncertain of labor income and asset allocation decisions on accumulating wealth for retirement. The analysis was done by simulation of some investment strategies, comparing a single asset investment, life-style funds and life-cycle funds. The model took into account the labor income profile by age and th
Publicado em: 2010
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3. Estratégias de Alocação versus Diversificação Simples: Estudo Comparativo do Mercado de Ações Brasileiro / Asset Allocation versus Naive Diversification: Comparative Study of the Brazilian Stock Markets
The paper aims to evaluate the performance of portfolios optimization strategies in relation to naive 1/N portfolio for the Brazilian stock markets. The results indicate that no optimization strategy outperforms the naive portfolio in terms of Sharpe ratio and certaintyequivalent return. Although allocation errors were little on average for the observed peri
Publicado em: 2010
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4. RETURN, RISK E LIQUIDITY RELATIONSHIP IN FUNDS OF FUNDS PORTFOLIO CONSTRUCTION / RELAÇÃO RISCO, RETORNO E LIQUIDEZ NA CONSTRUÇÃO DE PORTFÓLIOS DE FUNDOS DE FUNDOS
During the recent years, hedge funds in Brazil experienced an incredible increase in assets under management. Many investors are changing their asset allocation, migrating from fixed income to hedge funds. With this movement, another segment of the same industry will flourish: Funds of funds. This work main objective is to propose a methodology to help on th
Publicado em: 2008
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5. Bank macrofinance: public debt and bank management in Brazil / Macrofinanças bancárias: dívida pública e gestão bancária no Brasil
Banks loan resources to the people, to the companies and to the governments, through the purchase of securities or through the loans &leases. The federal government is one of the customers of the banks. From a descriptive study, with a observation of two phenomena - evolution of the public debt and strategy of banking management - that they had occurred in B
Publicado em: 2007
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6. Previdência complementar no Brasil: Análise do impacto da legislação na alocação de ativos entre 2003 e 2005
This work aims to identify the impacts brought about by legislation alterations regarding assets allocation by Pension Funds Companies. Focused on that, this work carried on a detailed review on the existing literature concerning Modern Portfolio Theory, Pension Funds Investment Strategies and on Brazilian Legislation for Financial Market and Pension Funds.
Publicado em: 2006
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7. Previdência complementar no Brasil: análise do impacto da legislação na alocação de ativos entre 2003 e 2005
This work aims to identify the impacts brought about by legislation alterations regarding assets allocation by Pension Funds Companies. Focused on that, this work carried on a detailed review on the existing literature concerning Modern Portfolio Theory, Pension Funds Investment Strategies and on Brazilian Legislation for Financial Market and Pension Funds.
Publicado em: 2006
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8. FATORES DETERMINANTES DA ESTRATÉGIA DE ALOCAÇÃO DE ATIVOS DOS BANCOS COM ATIVIDADES DE VAREJO NO BRASIL / DETERMINANT FACTORS OF ASSET ALLOCATION STRATEGIES OF BANKS WITH RETAIL ACTIVITIES IN BRAZIL
Several recent papers analyze the impact of foreign bank entry on the Brazilian bank market. Some of these studies assess the impact of those entrances on domestic banks` performance, on the overall credit supply, and on other variables. Other studies emphasize the credit supply and the banks` social role as financiers of the private sector. Nevertheless, no
Publicado em: 2005