3 resultados para CVaR

em Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho"


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The incubation of seeds of Raphanus sativus L. cvar Early Scarlet Globe with 10 mu M aspirin resulted in increase in the temperature range for germination. The analysis of percentage germination and germination rates indicated the increase in the optimum temperature from 21.4 to 26 degrees C although at 32.6 degrees C 80.8% of seeds germinated with aspirin and no germination in the control. The analysis of the kinetics of seed germination indicated that aspirin treatment resulted in germination by decreasing the enthalpy of activation of the process. The aspirin treatment also resulted in the synchronization of seed germination. on the base of our results we propose aspirin application in practice to increase the tolerance to high temperature and to synchronize seed germination at least in Raphanus sativus L. cvar early scarlet globe.

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The work consists of analyzing the risk management of investments by applying statistical concepts, economic and mathematical models considering the assets on the market on renowned financial institution. The assessment of these risks becomes increasingly interesting in view of minimizing your losses thus maximizing your chances of gains in both markets boom as extreme uncertainty, even with the sudden changes of scenery. Introducing concepts of investment funds, as well as the classification of the types of funds as funds management and equity, its guidelines, the concept of market investment funds. The types of assets comprising the investment funds, their taxation rules beyond the incidents that market widely used by investors and skilled people, both physical and legal, who keep their resources in this modality. With the historical data collected yields of investment funds of the Bank of Brazil, is an accomplished inflation adjustment and calculated the mean and variance for the verification of the model of Markowitz efficient frontier, a method used as investment analysis. This scan is used Matlab to obtain the set (or border) efficient portfolios. Once verified such data, there will be a critique of the Markowitz model as a quadratic programming and more coherent risk measures currently studied as VaR and CVaR minimizing the expected error, approaching our studies of current research. It is found that such studies have much to be explored, since there are many discussions about how effectively measure risk investments such as its characteristic and behavior, using a time series and volatility

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This paper consists in applying the Modern Theory of Portfolio (MPT) using central position measurements for modeling the return on investment fund of a renowned financial institution and compare with the Medium- CVaR model. The measurement of risks and returns becomes increasingly important for investors to minimize their losses to maximize thus their possibilities of earnings, taking into account sudden change scenarios. We present concepts of investment funds used as data and research on central position measurements to determine which measure was more suitable. To assemble the Efficient Frontier of assets considering the method proposed measure of central position-CVaR position is used MatLab. Then, after getting the Frontier, it was possible to compare it with the Medium-CVaR model, already proven effective. Finally, we analyze the viability of the proposed model in portfolio management