Assets Allocation
Mostrando 1-12 de 18 artigos, teses e dissertações.
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1. Alocação de ativos para fundos de previdência complementar no Brasil / Pension funds asset allocation in Brazil
The purpose of this study was to analyze the impact of uncertain of labor income and asset allocation decisions on accumulating wealth for retirement. The analysis was done by simulation of some investment strategies, comparing a single asset investment, life-style funds and life-cycle funds. The model took into account the labor income profile by age and th
Publicado em: 2010
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2. Estratégias de Alocação versus Diversificação Simples: Estudo Comparativo do Mercado de Ações Brasileiro / Asset Allocation versus Naive Diversification: Comparative Study of the Brazilian Stock Markets
The paper aims to evaluate the performance of portfolios optimization strategies in relation to naive 1/N portfolio for the Brazilian stock markets. The results indicate that no optimization strategy outperforms the naive portfolio in terms of Sharpe ratio and certaintyequivalent return. Although allocation errors were little on average for the observed peri
Publicado em: 2010
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3. Strategic asset allocation on Brazilian assets / Análise da alocação estratégica de longo prazo em ativos brasileiros
Este trabalho consiste na aplicação de Campbell, Chan e Viceira (2003) [A multivariate model of strategic asset allocation. Journal of Financial Economics 67, p. 41-80] para a análise da alocação estratégica de longo prazo em ativos brasileiros, utilizando dados mensais de 2002 a 2009. Os resultados encontrados diferem significativamente daqueles obtid
Publicado em: 2010
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4. OPTIMIZATION AND PLANNING THE ALLOCATION OF CAPITAL CONSIDERING THE REQUIREMENTS OF FINANCIAL INSTITUTIONS AGREEMENT FOR BASEL II CREDIT RISK. / OTIMIZAÇÃO E PLANEJAMENTO DA ALOCAÇÃO DE CAPITAL EM INSTITUIÇÕES FINANCEIRAS CONSIDERANDO OS REQUISITOS DO ACORDO DE BASILÉIA II PARA O RISCO DE CRÉDITO.
A regulamentação tem influenciado as atitudes das instituições financeiras quando relacionada à assunção de riscos. O mercado financeiro mundial reconhece a necessidade da quantificação e do controle dos riscos inerentes às atividades bancárias, processos esses que vêm convergindo para uma padronização em praticamente todos os países. Seguindo
Publicado em: 2010
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5. Efeitos da diversificação de ativos na eficiência da gestão dos investimentos dos fundos de pensão brasileiros
The objective of this thesis was to evaluate the Brazilian pension funds assets allocation considering four feasible scenarios. One of the scenarios assumes economic stability with real interest rates of approximately 4% per year. The model used in this thesis was the theory of portfolio, proposed by Harry Markowitz. The results of this research presented th
Publicado em: 2009
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6. Avaliação da eficiência na alocação dos ativos nas companhias seguradoras brasileiras
O objetivo do presente trabalho foi avaliar se as companhias seguradoras no Brasil otimizaram a alocação de seus ativos no período de 2001 a 2007. Dessa forma, baseando-se na carteira de investimentos dessas companhias e na teoria clássica de seleção de carteiras, formulada por Markowitz (1952), é possível avaliar a eficiência da alocação de todos
Publicado em: 2009
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7. Gestão financeira de fundos de pensão / Financial management of pension funds
The Brazilian Pension System is composed of three regimens: the General Social Security System (RGPS), the Proper Security System of the Civil Servant (RPPS) and the Supplementary Security System (RPC), operated by open and closed security entities (EFPC and EAPC). The focus of this study is the Financial Management of Closed Entities of Supplementary Securi
Publicado em: 2009
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8. RETURN, RISK E LIQUIDITY RELATIONSHIP IN FUNDS OF FUNDS PORTFOLIO CONSTRUCTION / RELAÇÃO RISCO, RETORNO E LIQUIDEZ NA CONSTRUÇÃO DE PORTFÓLIOS DE FUNDOS DE FUNDOS
During the recent years, hedge funds in Brazil experienced an incredible increase in assets under management. Many investors are changing their asset allocation, migrating from fixed income to hedge funds. With this movement, another segment of the same industry will flourish: Funds of funds. This work main objective is to propose a methodology to help on th
Publicado em: 2008
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9. Bank macrofinance: public debt and bank management in Brazil / Macrofinanças bancárias: dívida pública e gestão bancária no Brasil
Banks loan resources to the people, to the companies and to the governments, through the purchase of securities or through the loans &leases. The federal government is one of the customers of the banks. From a descriptive study, with a observation of two phenomena - evolution of the public debt and strategy of banking management - that they had occurred in B
Publicado em: 2007
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10. Implementação e desimplementação do custeio baseado em atividades (ABC): o caso CTBC
This dissertation presents the trajectory of the Activity Based Cost System - ABC in the Company of Telephones of Central Brazil - CTBC. Demonstrating as it was the process of choice and implementation of this system, its use and the reasons by which the same was disactivated. Thus, the study focus the ABC Cost System, its relevance and its incompatibility w
Publicado em: 2007
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11. Previdência complementar no Brasil: Análise do impacto da legislação na alocação de ativos entre 2003 e 2005
This work aims to identify the impacts brought about by legislation alterations regarding assets allocation by Pension Funds Companies. Focused on that, this work carried on a detailed review on the existing literature concerning Modern Portfolio Theory, Pension Funds Investment Strategies and on Brazilian Legislation for Financial Market and Pension Funds.
Publicado em: 2006
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12. Previdência complementar no Brasil: análise do impacto da legislação na alocação de ativos entre 2003 e 2005
This work aims to identify the impacts brought about by legislation alterations regarding assets allocation by Pension Funds Companies. Focused on that, this work carried on a detailed review on the existing literature concerning Modern Portfolio Theory, Pension Funds Investment Strategies and on Brazilian Legislation for Financial Market and Pension Funds.
Publicado em: 2006