Please use this identifier to cite or link to this item: http://hdl.handle.net/11422/9276
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dc.contributor.authorLeal, Ricardo Pereira Câmara-
dc.contributor.authorMendes, Beatriz Vaz de Melo-
dc.date.accessioned2019-08-30T18:18:40Z-
dc.date.available2019-09-01T03:00:15Z-
dc.date.issued2003-
dc.identifier.citationLEAL, 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).pt_BR
dc.identifier.isbn8575080482pt_BR
dc.identifier.issn1518-3335pt_BR
dc.identifier.urihttp://hdl.handle.net/11422/9276-
dc.description.abstractFinancial 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.en
dc.languageengpt_BR
dc.publisherUniversidade Federal do Rio de Janeiropt_BR
dc.relation.ispartofRelatórios COPPEADpt_BR
dc.rightsAcesso Abertopt_BR
dc.subjectFinançaspt_BR
dc.subjectTítulos (Finanças)pt_BR
dc.subjectInvestimentospt_BR
dc.subjectWorking paperen
dc.titleUsing robust portfolios techniques in emerging marketsen
dc.typeRelatóriopt_BR
dc.description.resumoIndisponível.pt_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.issue357pt_BR
dc.embargo.termsabertopt_BR
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