This position paper reflects the perspective presented at the Workshop "Pensando o Futuro do Setor Energético Brasileiro" and focuses on issues related to creating conditions for long-term financing and its risks, including: ...

This paper revisits Modern Portfolio Theory and derives eleven properties of Efficient Allocations and Portfolios in the presence of leverage. With different degrees of leverage, an Efficient Portfolio is a linear combination ...

The Mutual Fund Theorem is an elegant way of describing how investors with different attitudes towards risk should construct their portfolios. It is, however, often misinterpreted. This paper revisits the topic by defining ...

The main objective of this work is to develop a detailed step-by-step guide to the development and application of a new class of efficient Monte Carlo methods to solve practically important problems faced by insurers under ...

Esse trabalho propõe uma metodologia para gestão de portfólio em que os ativos são alocados em termos de contribuição de risco – orçamento de risco. Ao contrário do framework tradicional, nenhuma estimativa de retorno dos ...

Developed countries vary widely in terms of levels of competition exhibited within the banking sector. This paper measures the empirical effects of competition on financial stability using the Lerner index as a proxy for ...

This article studies optimal portfolio decisions with (long-term) liabilities for small open economy based investors, including the optimality of currency hedging (Walker (2008a). Chile is the home country of the representative ...