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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Fator estocástico de desconto: as cotas de variância, métricas de distância e suas extensões

Araujo, João Bretas de 30 September 2010 (has links)
Submitted by João Bretas de Araujo (joaobretas@fgvmail.br) on 2010-12-22T14:27:41Z No. of bitstreams: 1 Dissertacao - Joao Bretas.pdf: 1174985 bytes, checksum: 2d443b4f657b8cbc7ff6798802dd1bd2 (MD5) / Approved for entry into archive by Andrea Virginio Machado(andrea.machado@fgv.br) on 2010-12-22T16:45:23Z (GMT) No. of bitstreams: 1 Dissertacao - Joao Bretas.pdf: 1174985 bytes, checksum: 2d443b4f657b8cbc7ff6798802dd1bd2 (MD5) / Made available in DSpace on 2010-12-28T16:33:30Z (GMT). No. of bitstreams: 1 Dissertacao - Joao Bretas.pdf: 1174985 bytes, checksum: 2d443b4f657b8cbc7ff6798802dd1bd2 (MD5) Previous issue date: 2010-09-30 / The concept of stochastic discount factor pervades the Modern Theory of Asset Pricing. Initially, such object allows unattached pricing models to be discussed under the same terms. However, Hansen and Jagannathan have shown there is worthy information to be brought forth from such powerful concept which undelies asset pricing models. From security market data sets, one is able to explore the behavior of such random variable, determining a useful variance bound. Furthermore, through that instrument, they explore one pitfall on modern asset pricing: model misspecification. Those major contributions, alongside with some of its extensions, are thoroughly investigated in this exposition. / O conceito de fator estocástico de desconto permeia a Teoria Moderna de Apreçamento de Ativos. A princípio, tal objeto permite homogeneização na discussão sobre modelos de apreçamento. No entanto, Hansen e Jagannathan mostraram que há mais a ser extraído desse poderoso conceito subjacente aos modelos. A partir de dados, estudam limites do comportamento dessa variável aleatória, determinando cotas inferiores para suas variâncias. Além disso, com aquele instrumento, exploram as fragilidades da modelagem em finanças como erros de especificação. Essas contribuições e algumas de suas extensões são investigadas nessa dissertação.

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