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Robson Costa Reis,Marcelo Cabus Klotzle,Antonio Carlos Figueiredo Pinto,Leonardo Lima Gomes
Pág. 479 - 522
This work has analyzed the performance of 31 behavioral mutual funds in the USA, Europe and Japan described in Santoni and Kelshiker (2010). Were observed the performances of the funds and their respective benchmarks in four indicators: the Sharpe index,...
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André Giudice de Oliveira,Vinicius Mothé Maia,Antonio Carlos Figueiredo Pinto,Marcelo Cabús Klotzle,Luiz Felipe Jarques da Motta
Pág. 44 - 64
This paper compares the BM&FBovespa reference option premiums with the Garman-Kohlhagen model, Corrado-Su modified model, Merton's jump-diffusion model, and Black modified model for skewness and kurtosis for pricing dollar options and Ibovespa futures. T...
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Alex Sandro Monteiro De Moraes,Antonio Carlos Figueiredo Pinto,Marcelo Cabus Klotzle
Pág. 394?437
This paper compares the performance of long-memory models (FIGARCH) with short-memory models (GARCH) in forecasting volatility for calculating value-at-risk (VaR) and expected shortfall (ES) for multiple periods ahead for six emerging markets stock indic...
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Paulo Roberto Lima Dias Filho,Luciana Lima,Antonio Carlos Figueiredo Pinto,Marcelo Cabús Klötzle,Vinicius Mothé Maia
Pág. 64 - 82
Dentro da temática da utilização da volatilidade implícita ao invés da volatilidade histórica, o presente estudo procurou comparar o desempenho do modelo Black-Scholes, amplamente estudado no Brasil e mundo afora, com o modelo da Árvore Trinomial I...
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Alex Sandro Monteiro de Moraes,Antonio Carlos Figueiredo Pinto,Marcelo Cabus Klotzle
Pág. 455 - 479
The models of the GARCH family, normally used for the estimates of volatility for longer periods, keep unchanged the relative weights assigned to the observations both old and new, regardless of the volatility´s forecasted horizon. The purpose of this a...
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Marcelo Cabus Klotzle,Leonardo Lima Gomes,Luiz Eduardo Teixeira Brandão,Antonio Carlos Figueiredo Pinto
Pág. 395 - 416
Since the fifties, several measures have been developed in order to measure the performance of investments or choices involving uncertain outcomes. Much of these measures are based on Expected Utility Theory, but since the nineties a number of measures h...
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Marcelo Cabus Klotzle,Antonio Carlos Figueiredo Pinto,Mario Domingues Simões,Leonardo Lima Gomes
Pág. 365 - 382
In recent years, one could observe a very definite surge in dollar prices in Brazil. Many Brazilian Companies, especially those with large amounts of dollar denominated debt incurred substantial losses due to the strong and fast growth of the dollar. The...
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Elton Tizziani,Marcelo Cabus Klotzle,Walter Lee Ness Jr.,Luiz Felipe Motta
Pág. 383 - 416
The goal of this study is to test the disposition effect, the tendency of investors to sell winning investments too soon and hold losing investments too long, by analyzing all Brazilian equity fund portfolios from November 2003 to March 2008. The analysi...
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Mariana Felix Teixeira,Marcelo Cabus Klotzle,Walter Lee Ness
Pág. 49 - 67
Many studies in international ?nance try to investigate to what extent domestic and external economic factors constitute signi?cant determinant factors of international country risk. This article tries to analyze, for the period 1992-2003, Brazilian coun...
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