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Search Results: 1 - 10 of 12906 matches for " Marcelo Brutti Righi "
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Loss-Deviation risk measures
Marcelo Brutti Righi
Quantitative Finance , 2015,
Abstract: In this paper we present a class of risk measures composed of coherent risk measures with generalized deviation measures. Based on the Limitedness axiom, we prove that this set is a sub-class of coherent risk measures. We present extensions of this result for the case of convex or co-monotone coherent risk measures. Under this perspective, we propose a specific formulation that generates, from any coherent measure, a generalized deviation based on the dispersion of results worse than it, which leads to a very interesting risk measure. Moreover, we present some examples of risk measures that lie in our proposed class.
Previsibilidade e eficiência no mercado agrícola
Righi, Marcelo Brutti;Ceretta, Paulo Sergio;
Ciência Rural , 2011, DOI: 10.1590/S0103-84782011005000125
Abstract: this research aims to test the random walk hypothesis in soybean, cotton, coffee and corn markets by using the variance ratio tests. the data used refers to the daily quotations of price indicators, esalq/cepea for the period from 13/03/2006 to 20/10/2010.results allowed to conclude that all commodities reject the random walk hypothesis, and hence the efficiency of market, generating arbitrage opportunity.
Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach
Marcelo Brutti Righi,Paulo Sergio Ceretta
Revista Brasileira de Finan?as , 2012,
Abstract: In this paper we estimate a dynamic portfolio composed by the U.S., German, British, Brazilian, Hong Kong and Australian markets, the period considered started on September 2001 and finished in September 2011. We ran the Copula-DCC-GARCH model on the daily returns conditional covariance matrix. The results allow us to conclude that there were changes in portfolio composition, occasioned by modifications in volatility and dependence between markets. The dynamic approach significantly reduced the portfolio risk if compared to the traditional static approach, especially in turbulent periods. Furthermore, we verified that the estimated copula model outperformed the conventional DCC model for the sample studied.
Liquidity Spillover in International Stock Markets through Distinct Time Scales
Marcelo Brutti Righi, Kelmara Mendes Vieira
PLOS ONE , 2014, DOI: 10.1371/journal.pone.0086134
Abstract: This paper identifies liquidity spillovers through different time scales based on a wavelet multiscaling method. We decompose daily data from U.S., British, Brazilian and Hong Kong stock markets indices in order to calculate the scale correlation between their illiquidities. The sample is divided in order to consider non-crisis, sub-prime crisis and Eurozone crisis. We find that there are changes in correlations of distinct scales and different periods. Association in finest scales is smaller than in coarse scales. There is a rise on associations in periods of crisis. In frequencies, there is predominance for significant distinctions involving the coarsest scale, while for crises periods there is predominance for distinctions on the finest scale.
Shortfall Deviation Risk: An alternative to risk measurement
Marcelo Brutti Righi,Paulo Sergio Ceretta
Quantitative Finance , 2015,
Abstract: We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occur with certain probability penalized by the dispersion of results worse than such expectation. SDR combines Expected Shortfall (ES) and Shortfall Deviation (SD), which we also introduce, contemplating two fundamental pillars of the risk concept, the probability of adverse events (ES) and the variability of an expectation (SD), and considers extreme results. We demonstrate that SD is a generalized deviation measure, whereas SDR is a coherent risk measure. We achieve the dual representation of SDR, and we discuss issues such as its representation by a weighted ES, acceptance sets, convexity, continuity and relationship with stochastic dominance.
De onde vem o endividamento feminino?: constru??o e valida??o de um modelo PLS-PM
Trindade, Larissa de Lima;Righi, Marcelo Brutti;Vieira, Kelmara Mendes;
REAd. Revista Eletr?nica de Administra??o (Porto Alegre) , 2012, DOI: 10.1590/S1413-23112012000300006
Abstract: the exacerbate consumption may lead many individuals to contract debts which commite a significant portion of their income and, in many cases, eventually taking into default. the default often brings with it devastating effects in both macroeconomic point of view, increasing the risk of operations and financial products, such as from the individual standpoint, affecting his social, psychological state and family life. moreover, the bigger women participation in labor market brought greater financial independence and empowerment in decision and consequently larger power of consumption decision and at the same time, more responsibility on financial management and borrowing decisions. thus, this study focused on the identification and analysis of factors which affect the indebtedness propensity, among women in the rio grande do sul western-central mesoregion. this study proposes a structural model to determine the relationships among the women indebtedness propensity determinants of that mesoregion, considering variables which compose the constructs of social status, concern, stability, pleasure, power, budget, illusion and materialism. for this, were applied 2,500 questionnaires statistically scattered among the 31 cities which compose the mesoregion. data were analyzed by partial least squares -path modeling (pls-pm) methodology. in summary, the results suggest that the construct indebtedness is associated with social status, concern and materialism, corroborating with the behavioral finance theories, suggesting that decisions involving borrowing go beyond the simple consumption and income relationship, i.e., there are other behavioral variables which are important in the time that individual contract debts, such as the meaning that the individual attaches to money and the materialism level.
Análise de desempenho financeiro setorial no mercado brasileiro
Marcelo Brutti Righi,Paulo Sergio Ceretta,Vinicius Girardi da Silveira
Estudos do CEPE , 2012,
Abstract: O presente trabalho tem como objetivo auferir quais dos setores pertencentes àBM&F/Bovespa (Telecomunica es, Energia Elétrica, Industrial, Consumo,Imobiliário e Financeiro) possui o melhor desempenho. Para tanto s o utilizadosindicadores referenciados na literatura de finan as (índice de Sharpe, índice deSortino, índice de Treynor, Alfa de Jensen, Medida de Modigliani e Modigliani eíndice de Informa o). A amostra é composta por 812 observa es (02/01/2007 a19/04/2010). Os resultados obtidos permitem concluir que o setor de Energia Elétricaobteve o melhor desempenho no período amostral estudado, sendo, dentre osíndices setoriais da BM&F/Bovespa, o mais indicado para diversos tipos decomposi o, seja uma carteira inteira, uma fra o da mesma ou diversifica o. Abstract The present paper aims ascertain which sectors of the BM&F/Bovespa(Telecommunications, Electric Energy, Industrial, Consumption, Real Estate andFinancial) has the best performance. For this are used indicators referenced in thefinance literature (Sharpe Index, Sortino Index, Treynor Index, Jensen's Alpha,Modigliani and Modigliani Measure and Information Index). The sample is composedfor 812 observations (2007/01/02 to 2010/04/19). The results obtained allowconcluding that the sector of Electric Energy obtained the best performance in thesample period studied, and, among the sectorial indices of the BM&F/Bovespa, the most suitable for various kinds of composition, it is entire portfolio, a fraction of thesame or diversification.
Does sustainability practices, corporate governance and social responsibility affect risk and return of investments? Práticas de Sustentabilidade, Governan a Corporativa e Responsabilidade Social afetam o risco e o retorno dos investimentos?
Bruno Milani,Marcelo Brutti Righi,Paulo Sérgio Ceretta,Valéria da Veiga Dias
Revista de Administra??o da UFSM , 2013, DOI: 10.5902/198346596946
Abstract: This article aims to verify whether the investments in companies with better practices of Corporate Social Responsibility, Corporate Governance and Sustainability presents performance differences in relation to investments in companies that represent the market. To this end, we analyzed the series of daily returns of Ibovespa, IGC, IGCT, ISE and ITAG through GARCH model and mean differences tests. The results show that the conditional volatility of the differentiated practices indexes is significantly smaller than the Ibovespa volatility, although the correlation between the returns is very high. Besides that, the Sharpe Index (1966) of the better practices indexes shows that their return per unit of risk is significantly higher than Ibovespa’s. Thus, in general, it is possible to conclude that investments in different practices constitute a less risky and more profitable alternative to the investor. DOI: 10.5902/198346596946O presente artigo tem como objetivo verificar se os investimentos em empresas com melhores práticas de Responsabilidade Social Empresarial, Governan a Corporativa e Sustentabilidade apresentam diferen as quanto à performance em rela o a investimentos nas empresas que representam o mercado. Para tanto, foram analisadas as séries de retornos diários dos índices Ibovespa, IGC, IGCT, ISE e ITAG através do modelo GARCH e de testes n o paramétricos de diferen a de média. Os resultados demonstram que a volatilidade condicional dos índices de práticas diferenciadas é significativamente menor do que a volatilidade do índice Ibovespa apesar da correla o entre os retornos ser muito alta. Além disso, o índice de Sharpe (1966) demonstrou que o retorno por unidade de risco é significativamente superior para os índices de melhores práticas, em rela o ao Ibovespa. Assim, de uma maneira geral, é possível concluir que os investimentos em empresas com melhores práticas constituem uma alternativa menos arriscada e mais rentável para o investidor.
Análise do Comportamento Temporal da Liquidez no Mercado Acionário Brasileiro
Kelmara Mendes Vieira,Vinícius Girardi da Silveira,Marcelo Brutti Righi
Revista de Finan?as Aplicadas , 2012,
Abstract: O presente artigo tem como objetivo estudar o comportamento temporal da liquidez no mercado acionário brasileiro. Para tanto, foram utilizados dados diários de dezembro de 1994 a abril de 2010 de 552 a es negociadas neste período, a fim de formar variáveis mensais da medida de liquidez de Liu (2006), utilizada neste estudo. Inicialmente as varia es da medida foram modeladas de forma linear com base em um modelo auto-regressivo com médias móveis (ARMA). Posteriormente, para obter uma análise mais realista do fen meno analisado, foi estimado um modelo Self-Exciting Threshold Auto-Regressive (SETAR). Como resultado, foi possível concluir que quanto maior a intensidade das varia es na liquidez, menor é a influência dos períodos passados na negociabilidade dos ativos. Desse modo, é difícil prever o comportamento da liquidez, principalmente em momentos de instabilidade ou crises financeiras, o que provoca um aumento no grau de risco dos investimentos. Adicionalmente, foi possível constatar a presen a do efeito manada no mercado acionário brasileiro, fortemente atrelado às crises financeiras existentes durante o período.
Warped Wavelet and Vertical Thresholding
Pierpaolo Brutti
Mathematics , 2008,
Abstract: Let $\{(X_i,Y_i)\}_{i\in \{1,..., n\}}$ be an i.i.d. sample from the random design regression model $Y=f(X)+\epsilon$ with $(X,Y)\in [0,1]\times [-M,M]$. In dealing with such a model, adaptation is naturally to be intended in terms of $L^2([0,1],G_X)$ norm where $G_X(\cdot)$ denotes the (known) marginal distribution of the design variable $X$. Recently much work has been devoted to the construction of estimators that adapts in this setting (see, for example, [5,24,25,32]), but only a few of them come along with a easy--to--implement computational scheme. Here we propose a family of estimators based on the warped wavelet basis recently introduced by Picard and Kerkyacharian [36] and a tree-like thresholding rule that takes into account the hierarchical (across-scale) structure of the wavelet coefficients. We show that, if the regression function belongs to a certain class of approximation spaces defined in terms of $G_X(\cdot)$, then our procedure is adaptive and converge to the true regression function with an optimal rate. The results are stated in terms of excess probabilities as in [19].
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