Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil
| Ano de defesa: | 2010 |
|---|---|
| Autor(a) principal: | |
| Orientador(a): | |
| Banca de defesa: | |
| Tipo de documento: | Dissertação |
| Tipo de acesso: | Acesso aberto |
| Idioma: | por |
| Instituição de defesa: |
Não Informado pela instituição
|
| Programa de Pós-Graduação: |
Não Informado pela instituição
|
| Departamento: |
Não Informado pela instituição
|
| País: |
Não Informado pela instituição
|
| Palavras-chave em Português: | |
| Palavras-chave em Inglês: | |
| Link de acesso: | https://hdl.handle.net/10438/6965 |
Resumo: | The Black-Litterman model calculates the expected market returns as a combination of a set of investor views and a neutral reference point. The model uses Bayesian approach to blend both sources of information. The results from the Black-Litterman model, in contrast to the traditional approach, are quite intuitive, stable and consistent with the investors views. The purpose of this thesis is to provide a detailed analysis of each component of the Black-Litterman model and verify if the use of the Black-Litterman model, introducing the views of the market based on the Central Bank report, FOCUS, outperforms brasilians Hegde Funds. |
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Porto, Ricardo Lafayette Stockler Macintyre da SilvaEscolas::EPGEFGVAragão, César Santiago Lima deBonomo, Marco Antônio CesarHartung, Gabriel ChequerLowenkron, Alexandre2010-08-23T17:42:59Z2010-08-23T17:42:59Z2010-05-26PORTO, Ricardo Lafayette Stockler Macintyre da Silva. Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2010.https://hdl.handle.net/10438/6965The Black-Litterman model calculates the expected market returns as a combination of a set of investor views and a neutral reference point. The model uses Bayesian approach to blend both sources of information. The results from the Black-Litterman model, in contrast to the traditional approach, are quite intuitive, stable and consistent with the investors views. The purpose of this thesis is to provide a detailed analysis of each component of the Black-Litterman model and verify if the use of the Black-Litterman model, introducing the views of the market based on the Central Bank report, FOCUS, outperforms brasilians Hegde Funds.O modelo Black-Litterman calcula os retornos esperados de mercado como uma combinação de um conjunto de expectativas específicas de cada investidor e um ponto de referência neutro. A combinação dessas duas fontes de informações são feitas pelo modelo utilizando a abordagem bayesiana. Os resultados obtidos a partir do modelo Black-Litterman, ao contrário da abordagem tradicional, são bastante intuitivos, estáveis e consistentes em relação as expectativas dos investidores. O objetivo dessa dissertação é fazer uma análise detalhada de cada um dos componentes do modelo Black-Litterman e verificar se a utilização o modelo de Black-Litterman, introduzindo as opiniões de mercado com base no relatório FOCUS do Banco Central, supera o retorno dos fundos multimercados brasileiros.porTodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveis.info:eu-repo/semantics/openAccessBlack-LittermanMarkowitzFOCUSFundos multimercadosHedge fundsEconomiaFundos de investimento - Modelos matemáticosHedging (Finanças) - Modelos matemáticosUtilização do modelo de Black-Litterman para gestão de hedge funds do Brasilinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALDISSERTAÇÃO RICARDO PORTO.pdfDISSERTAÇÃO RICARDO PORTO.pdfPDFapplication/pdf454076https://repositorio.fgv.br/bitstreams/1a6478f1-fea7-462b-9732-c72c7330a7b8/download66bba39f53ab22d9842749c2713ec606MD51LICENSElicense.txtlicense.txttext/plain; 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| dc.title.por.fl_str_mv |
Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil |
| title |
Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil |
| spellingShingle |
Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil Porto, Ricardo Lafayette Stockler Macintyre da Silva Black-Litterman Markowitz FOCUS Fundos multimercados Hedge funds Economia Fundos de investimento - Modelos matemáticos Hedging (Finanças) - Modelos matemáticos |
| title_short |
Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil |
| title_full |
Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil |
| title_fullStr |
Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil |
| title_full_unstemmed |
Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil |
| title_sort |
Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil |
| author |
Porto, Ricardo Lafayette Stockler Macintyre da Silva |
| author_facet |
Porto, Ricardo Lafayette Stockler Macintyre da Silva |
| author_role |
author |
| dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
| dc.contributor.affiliation.none.fl_str_mv |
FGV |
| dc.contributor.member.none.fl_str_mv |
Aragão, César Santiago Lima de Bonomo, Marco Antônio Cesar Hartung, Gabriel Chequer |
| dc.contributor.author.fl_str_mv |
Porto, Ricardo Lafayette Stockler Macintyre da Silva |
| dc.contributor.advisor1.fl_str_mv |
Lowenkron, Alexandre |
| contributor_str_mv |
Lowenkron, Alexandre |
| dc.subject.por.fl_str_mv |
Black-Litterman Markowitz FOCUS Fundos multimercados |
| topic |
Black-Litterman Markowitz FOCUS Fundos multimercados Hedge funds Economia Fundos de investimento - Modelos matemáticos Hedging (Finanças) - Modelos matemáticos |
| dc.subject.eng.fl_str_mv |
Hedge funds |
| dc.subject.area.por.fl_str_mv |
Economia |
| dc.subject.bibliodata.por.fl_str_mv |
Fundos de investimento - Modelos matemáticos Hedging (Finanças) - Modelos matemáticos |
| description |
The Black-Litterman model calculates the expected market returns as a combination of a set of investor views and a neutral reference point. The model uses Bayesian approach to blend both sources of information. The results from the Black-Litterman model, in contrast to the traditional approach, are quite intuitive, stable and consistent with the investors views. The purpose of this thesis is to provide a detailed analysis of each component of the Black-Litterman model and verify if the use of the Black-Litterman model, introducing the views of the market based on the Central Bank report, FOCUS, outperforms brasilians Hegde Funds. |
| publishDate |
2010 |
| dc.date.accessioned.fl_str_mv |
2010-08-23T17:42:59Z |
| dc.date.available.fl_str_mv |
2010-08-23T17:42:59Z |
| dc.date.issued.fl_str_mv |
2010-05-26 |
| dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
| dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
| format |
masterThesis |
| status_str |
publishedVersion |
| dc.identifier.citation.fl_str_mv |
PORTO, Ricardo Lafayette Stockler Macintyre da Silva. Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2010. |
| dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/6965 |
| identifier_str_mv |
PORTO, Ricardo Lafayette Stockler Macintyre da Silva. Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2010. |
| url |
https://hdl.handle.net/10438/6965 |
| dc.language.iso.fl_str_mv |
por |
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por |
| dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
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openAccess |
| dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Fundação Getulio Vargas (FGV) |
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FGV |
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FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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https://repositorio.fgv.br/bitstreams/1a6478f1-fea7-462b-9732-c72c7330a7b8/download https://repositorio.fgv.br/bitstreams/e9fccb8a-0724-45b3-b71b-f7735026d266/download https://repositorio.fgv.br/bitstreams/34877b90-1d5e-4485-b0ad-3b35c2669c5e/download https://repositorio.fgv.br/bitstreams/46fdc99f-7fbe-41a2-b0ba-72a2eafd53ba/download |
| bitstream.checksum.fl_str_mv |
66bba39f53ab22d9842749c2713ec606 4dea6f7333914d9740702a2deb2db217 e06fb0842bf4f22caf2a63788c0ce824 4734f109e65c5923f430564a809cfdef |
| bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
| repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
| repository.mail.fl_str_mv |
|
| _version_ |
1827842506675453952 |