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Setor bancário brasileiro: uma avaliação do risco e retorno dos ativos listados na Bovespa no ano de 2017
(Universidade Federal do Rio Grande do NorteBrasilUFRNCiências Econômicas, 2018-07)
The purpose of this paper is to investigate the relationship between the risk and the return of the Brazilian banking assets listed on BM & FBOVESPA in 2017. For this we use the capital asset pricing model (CAPM), which ...
World betas, consumption growth, and financial integration
(ELSEVIER SCI LTD, 2011)
We define a country's beta as the covariance of domestic consumption growth with world consumption growth scaled by the world's variance. Beta is related to a country's risk-taking position in models of international ...
CAPM: uma aplicação do modelo para as blue chips listadas na BM&FBOVESPA
(Universidade Federal de Santa MariaBrasilUFSMCentro de Ciências Sociais e Humanas, 2014-11-27)
The capital asset pricing model (CAPM) indicates the expected return of an asset taking into consideration the risk-free return, the market return and the beta coefficient. The present study sought to determine whether the ...
Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns
(2013-11-01)
Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for ...
Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns
(2013-11-01)
Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for ...
RETURN PERIOD AND RISK OF HYDROLOGIC EVENTS. II: APPLICATIONS
(ASCE-AMER SOC CIVIL ENGINEERS, 1999)
A mathematical formulation to estimate return periods and risks of failure of complex hydrologic events such as those arising from dependent floods and droughts have been examined in the first part of this paper. Specifically, ...
Análise de risco e retorno de carteiras recomendadas por corretoras brasileiras
(Universidade Federal de Santa MariaBrasilUFSMCentro de Ciências Sociais e Humanas, 2014-01-10)
This work presents a contribution to the study of the relationship between risk and return in recommended portfolios by different brokerage firms that operate in Brazil. It seeks help the individual investor, who wants to ...
The Relation between Expected Returns and Volatility in the Brazilian Stock MarketThe Relation between Expected Returns and Volatility in the Brazilian Stock Market
(Sociedade Brasileira de Econometria, 2011)
A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
(Pontificia Universidad Católica del Perú, 2019)