Matches in SemOpenAlex for { <https://semopenalex.org/work/W3175687296> ?p ?o ?g. }
Showing items 1 to 46 of
46
with 100 items per page.
- W3175687296 abstract "Portuguese Abstract: Entender a contribuicao de ativos individuais ou de grupos de ativos para o risco total de um determinado portfolio e imprescindivel para uma gestao financeira moderna. Nesse artigo, usando um modelo estocastico para retornos que combina volatilidade estocastica, teoria dos valores extremos para as caudas e copula para modelar a dependencia entre os ativos, nos calculamos a contribuicao marginal ao risco de 10 fundos de acoes que obtiveram retornos significativos em 2020. Nossa analise mostra que, dependendo da composicao do portfolio, alguns setores economicos podem contribuir ate 40% mais para o risco total do portfolio do que o risco observado quando os ativos sao tratados de forma individual.English Abstract: Understanding the contribution of individual assets or groups of assets to the total risk of a given portfolio is essential for modern financial management. In this article, using a stochastic return model that combines stochastic volatility, extreme value theory, and copulas to model the dependency between assets, we calculate the marginal risk contribution of ten brazilian equity funds that achieved significant returns in 2020. Our analysis shows that, depending on the composition of the portfolio, some economic sectors may contribute up to 40% more to the total risk of the portfolio than the risk observed when assets are treated individually." @default.
- W3175687296 created "2021-07-05" @default.
- W3175687296 creator A5006256932 @default.
- W3175687296 creator A5048702181 @default.
- W3175687296 creator A5082109843 @default.
- W3175687296 date "2021-01-01" @default.
- W3175687296 modified "2023-10-14" @default.
- W3175687296 title "Uma análise do risco de fundos de ações brasileiros em 2020 (An Analysis of the Risk of Brazilian Equity Funds in 2020)" @default.
- W3175687296 doi "https://doi.org/10.2139/ssrn.3825680" @default.
- W3175687296 hasPublicationYear "2021" @default.
- W3175687296 type Work @default.
- W3175687296 sameAs 3175687296 @default.
- W3175687296 citedByCount "0" @default.
- W3175687296 crossrefType "journal-article" @default.
- W3175687296 hasAuthorship W3175687296A5006256932 @default.
- W3175687296 hasAuthorship W3175687296A5048702181 @default.
- W3175687296 hasAuthorship W3175687296A5082109843 @default.
- W3175687296 hasConcept C106159729 @default.
- W3175687296 hasConcept C138885662 @default.
- W3175687296 hasConcept C15708023 @default.
- W3175687296 hasConcept C162324750 @default.
- W3175687296 hasConcept C2780821815 @default.
- W3175687296 hasConcept C9725762 @default.
- W3175687296 hasConceptScore W3175687296C106159729 @default.
- W3175687296 hasConceptScore W3175687296C138885662 @default.
- W3175687296 hasConceptScore W3175687296C15708023 @default.
- W3175687296 hasConceptScore W3175687296C162324750 @default.
- W3175687296 hasConceptScore W3175687296C2780821815 @default.
- W3175687296 hasConceptScore W3175687296C9725762 @default.
- W3175687296 hasLocation W31756872961 @default.
- W3175687296 hasOpenAccess W3175687296 @default.
- W3175687296 hasPrimaryLocation W31756872961 @default.
- W3175687296 hasRelatedWork W10179370 @default.
- W3175687296 hasRelatedWork W10507143 @default.
- W3175687296 hasRelatedWork W11029432 @default.
- W3175687296 hasRelatedWork W11079369 @default.
- W3175687296 hasRelatedWork W11334834 @default.
- W3175687296 hasRelatedWork W13681585 @default.
- W3175687296 hasRelatedWork W14336365 @default.
- W3175687296 hasRelatedWork W4978177 @default.
- W3175687296 hasRelatedWork W9699499 @default.
- W3175687296 hasRelatedWork W547637 @default.
- W3175687296 isParatext "false" @default.
- W3175687296 isRetracted "false" @default.
- W3175687296 magId "3175687296" @default.
- W3175687296 workType "article" @default.