Please use this identifier to cite or link to this item: http://hdl.handle.net/11422/10049
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dc.contributor.authorMendes, Beatriz Vaz de Melo-
dc.contributor.authorLeal, Ricardo Pereira Câmara-
dc.date.accessioned2019-10-10T15:52:35Z-
dc.date.available2019-10-12T03:00:13Z-
dc.date.issued2010-
dc.identifier.citationMENDES, Beatriz Vaz de Melo; LEAL, Ricardo Pereira Câmara. Portfolio management with semi-parametric bootstrapping. Rio de Janeiro: UFRJ, 2010. 14 p. (Relatórios COPPEAD, 390).pt_BR
dc.identifier.isbn9788575080771pt_BR
dc.identifier.issn1518-3335pt_BR
dc.identifier.urihttp://hdl.handle.net/11422/10049-
dc.description.abstractEstimation risk is an important topic within the area of risk management. Uncertanties on the parameter estimates carry on to the ¯nal statistical product, for example to the investment strategies, and need to be estimated and accounted for. Unless the exact expressions for the estimators' variances are known, the product's variability will be assessed through bootstrap techniques. We address this issue in this paper and propose a semiparametric bootstrap method for reproducing the data, a method which parametrically takes care of all marginal characteristics of the returns data, and also takes care of the dependence structure existing in the data in a very simple and clever non-parametric way. The technique is applied to the problem of assessing variability of the Markowitz e±cient frontier. Simulation experiments are conducted to assess the out-of-sample forecasting usefulness of the semi-parametric bootstrap methodology.pt_BR
dc.languageporpt_BR
dc.publisherUniversidade Federal do Rio de Janeiropt_BR
dc.relation.ispartofRelatórios COPPEADpt_BR
dc.rightsAcesso Abertopt_BR
dc.subjectFinançaspt_BR
dc.subjectFinancept_BR
dc.subjectWorking paperpt_BR
dc.titlePortfolio management with semi-parametric bootstrappingpt_BR
dc.typeRelatóriopt_BR
dc.description.resumoIndisponívelpt_BR
dc.publisher.countryBrasilpt_BR
dc.publisher.departmentInstituto COPPEAD de Administraçãopt_BR
dc.publisher.initialsUFRJpt_BR
dc.subject.cnpqCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOpt_BR
dc.citation.issue390pt_BR
dc.embargo.termsabertopt_BR
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