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dc.contributor.authorSouza, Pierre O. dept_BR
dc.contributor.authorFilomena, Tiago Pascoalpt_BR
dc.contributor.authorCaldeira, João Froispt_BR
dc.contributor.authorBorenstein, Denispt_BR
dc.contributor.authorRighi, Marcelo Bruttipt_BR
dc.date.accessioned2017-08-15T02:31:51Zpt_BR
dc.date.issued2017pt_BR
dc.identifier.issn1545-2921pt_BR
dc.identifier.urihttp://hdl.handle.net/10183/165195pt_BR
dc.description.abstractUsing sectorial indices of the Brazilian market, we compare the portfolio optimization approach known as risk parity with minimum variance and equally weighted approaches. We apply various estimators for the covariance matrix to each portfolio strategy, since portfolio variance is considered as risk measure. Empirical results demonstrate that the risk parity approach provides more diversified portfolios and stable weights in the out-of-sample than the other two approaches, thereby avoiding the dangers of excessive concentration and reducing transaction costs. Furthermore, the results demonstrate that different estimators of the covariance matrix had little influence on the results obtained through the risk parity approach.en
dc.format.mimetypeapplication/pdfpt_BR
dc.language.isoengpt_BR
dc.relation.ispartofEconomics bulletin. Nashville. Vol. 37, n. 3 (2017), 13 p.pt_BR
dc.rightsOpen Accessen
dc.subjectRisco financeiropt_BR
dc.subjectBolsa de valorespt_BR
dc.titleRisk parity in the brazilian marketpt_BR
dc.typeArtigo de periódicopt_BR
dc.identifier.nrb001045436pt_BR
dc.type.originEstrangeiropt_BR


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