Performance comparison of multifractal techniques and artificial neural networks in the construction of investment portfolios

Autor: Oliveira, Alexandre Silva de, Ceretta, Paulo Sergio, Albrecht, Peter

Publikováno v: In Finance Research Letters July 2023 55 Part A

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Shortfall Deviation Risk: An alternative to risk measurement

Autor: Righi, Marcelo Brutti, Ceretta, Paulo Sergio

Publikováno v: Journal of Risk 19, 81-116, 2016

We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected Shortfall (ES)

Externí odkaz: http://arxiv.org/abs/1501.02007

Impacto da liberdade econômica no crescimento econômico

Autor: Espich , Denise, Ceretta , Paulo Sérgio, Ende , Marta Von

Publikováno v: Revista de Gestão e Secretariado (Management and Administrative Professional Review); Vol. 14 No. 6 (2023): Revista de Gestão e Secretariado v.14, n.6, 2023; 9615-9632
Revista de Gestão e Secretariado; v. 14 n. 6 (2023): Revista de Gestão e Secretariado v.14, n.6, 2023; 9615-9632

Este artigo analisa o impacto da liberdade econômica e de fatores econômicos tradicionais no crescimento econômico em dois painéis. O primeiro painel é constituído por países de economias avançadas e o segundo por países de economias emergen

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=issn21789010::06a66810a2806a6606883e7ca1d2480b
https://ojs.revistagesec.org.br/secretariado/article/view/2317

Forecasting Value at Risk and Expected Shortfall based on serial pair-copula constructions

Autor: Righi, Marcelo Brutti, Ceretta, Paulo Sergio

Publikováno v: In Expert Systems With Applications October 2015 42(17-18):6380-6390