Please use this identifier to cite or link to this item: http://hdl.handle.net/11422/9276
Type: Relatório
Title: Using robust portfolios techniques in emerging markets
Author(s)/Inventor(s): Leal, Ricardo Pereira Câmara
Mendes, Beatriz Vaz de Melo
Abstract: Indisponível.
Abstract: 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.
Keywords: Finanças
Títulos (Finanças)
Investimentos
Working paper
Subject CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Production unit: Instituto COPPEAD de Administração
Publisher: Universidade Federal do Rio de Janeiro
In: Relatórios COPPEAD
Issue: 357
Issue Date: 2003
Publisher country: Brasil
Language: eng
Right access: Acesso Aberto
ISBN: 8575080482
ISSN: 1518-3335
Citation: 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).
Appears in Collections:Relatórios Técnicos e de Pesquisa

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