Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/12032
Título: Mind the tails
Autor: Ribeiro, Duarte Emanuel Alves
Orientador: Faias, José
Data de Defesa: 31-Ago-2012
Resumo: Extremes have been gaining importance over time. This dissertation studies the impact of country’s tail dependence directly in asset allocation. We propose a new measure of country’s extreme dependence aggregating sector information. We use this new variable as a new characteristic in the asset allocation following Brandt and Santa-Clara (2006). The left tail dependence has a larger importance than the right tail, which corroborates findings from previous authors. We show that our OOS Sharpe ratios are of the order of 0.50 for the last two decades, twice as much as Brandt and Santa-Clara (2006). This outperformance is mostly prevalent during crisis periods. The results are robust to different levels of risk aversion.
URI: http://hdl.handle.net/10400.14/12032
Aparece nas colecções:R - Dissertações de Mestrado / Master Dissertations
FCEE - Dissertações de Mestrado / Master Dissertations

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