Zobrazeno 1 - 7 of 7 pro vyhledávání: '"Rui Pedro Brito"'
2
Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio
Autor: Rui Pedro Brito, Pedro Júdice
Publikováno v: Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
Under the International Financial Reporting Standard 9 framework, we analyze the trade-off of classifying a financial asset at amortized cost versus at fair value. Defining an impairment model and based on historical (2003–2019) data for the 10-yea
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f8514f7694ebbe579f65f7a88932a87c
https://hdl.handle.net/10071/22596
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3
On the Gains of Using High Frequency Data in Portfolio Selection
Autor: Helder Sebastião, Pedro Godinho, Rui Pedro Brito
Publikováno v: Scientific Annals of Economics and Business, Vol 65, Iss 4, Pp 365-383 (2018)
Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
This paper analyzes empirically the performance gains of using high frequency data in portfolio selection. Assuming Constant Relative Risk Aversion (CRRA) preferences, with different relative risk aversion levels, we compare low and high frequency po
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::30b76250ef867b11aaa2b01b3814d463
https://doi.org/10.2478/saeb-2018-0030
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4
Efficient skewness/semivariance portfolios
Autor: Helder Sebastião, Rui Pedro Brito, Pedro Godinho
Publikováno v: Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
This paper proposes a new way to measure and deal with risk within the portfolio selection problem using a skewness/semivariance biobjective optimization framework. The solutions of this biobjective optimization problem allow the investor to analyse
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a8417c3e6a810f841ec217189d58b527
https://doi.org/10.1057/jam.2016.9
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5
Portfolio choice with high frequency data : CRRA preferences and the liquidity effect
Autor: Pedro Godinho, Helder Sebastião, Rui Pedro Brito
Publikováno v: Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
This paper suggests a new approach for portfolio choice. In this frame- work, the investor, with CRRA preferences, has two objectives: the maximization of the expected utility and the minimization of the portfolio expected illiquidity. The CRRA utili
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7a7d1f2f07fc740c7946ab72160544e5
https://hdl.handle.net/10400.5/15766
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6
Portfolio management with higher moments: the cardinality impact
Autor: Pedro Godinho, Helder Sebastião, Rui Pedro Brito
Publikováno v: Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
In this paper we extend the study of the cardinality impact from the standard mean-variance scenario to higher moments, considering a utility maximization framework. For each scenario, we propose a bi-objective model that allows the investor to direc
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fd6a0880f175aa910e399afc9f0c7dfe
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