Aplicação da moderna teoria do Portfólio em ativos não financeiros

The Markowitz's objective functions, Value-at-Risk and Conditional Value-at-Risk, are largely used tools in the financial Market for portfolio optimization. This paper tries to analyze these functions having as a target to adapt them for application in non-financial assets portfolios. The paper uses as an example the Electricity Market to analyze and optimize a fictitious investment portfolio of a possible electric power utility. Showing that, besides being possible, which considerations must be taken and which analysis must be made to apply the Modern Portfolio Theory in the non-financial universe

A formação de joint ventures como alternativa para investimentos no setor sucroalcooleiro brasileiro

Pós-graduação em Direito - FCHS

Finanças comportamentais e modelos baseados em agentes

Pós-graduação em Economia - FCLAR

Finanças comportamentais e a formação de bolhas especulativas

Economic crises caused by speculative bubbles are recurring in economic history but there is still no consensus on how it begins, grows and overflows. Economists and regulators seem to be inefficient in predicting and preventing this process, which is so detrimental to economic functioning. This failure proved to be obvious with the American subprime crises, which had great impact on various sectors of the U.S. economy. In this paper, we perform a literature review of the traditional theory of finance, mainly represented by the Efficient Market Hypothesis. According to this theory, asset prices always reflect their intrinsic value, assumption that doesn’t match the price boom followed by a crash, observed in the crisis generated by speculative bubbles. Finally, we present a new way to analyze this phenomenon, in the light of the investors’ behavioral aspects and the flaws inherent to the financial markets

Sincronia das bolsas de valores

This study aims to analyze various index stock exchanges around the world, with mathematical methods, analyzing the Product Distribution function (PDF), cumulative distribution and correlation. It is thought that the world economy is connected, as if the financial markets were a network, where the fluctuation of a market generates a variation on another and another, creating a pattern, that this change will affect the entire network, thus creating what we might call the domino effect. From this we intend to study, using as a basis the main index of the major stock exchanges around the world the relationship they have with each other, analyzing the influence and correlation that generates this effect, showing that markets are connected and influence each other. We can see this effect in the crisis of 2008, where the U.S. market from one moment to the other was shaken, affecting the whole world in a few days, creating effects that are felt in the present day

Estudo comparativo do desempenho empresarial no Brasil e na China no período de 2005-2009: uma análise de empresas de capital aberto do setor de siderurgia

A teoria em finanças tem evoluído cada vez mais aproximando a teoria financeira às práticas reais adotadas nas empresas e nos mercados financeiros. A partir de Modigliani e Miller, que contribuíram para o ramo das finanças com a teoria da Irrelevância Financeira, o caminho se abriu para uma série de debates a cerca da importância das variáveis financeiras na determinação do valor da empresa. Foram levantados questionamentos a respeito da perfeição dos mercados e apresentado argumentos como a assimetria de informações, os custos de agência, a restrição financeira e outras implicações à teoria do investimento. Atualmente o que se sabe é que o fator investimento está altamente ligado às finanças e, portanto, relaciona-se com os meios de financiamento presentes no mercado e com a organização interna e financeira das firmas, esse ramo de estudo recebe o nome de Finanças Corporativas. Diante da teoria financeira, o objetivo é analisar a indústria siderúrgica de duas economias atualmente em destaque, Brasil e China através da análise econômico-financeira de quatro empresas de capital aberto do setor: Gerdau, Usiminas, Baosteel e Masteel. Cabe destacar que a indústria siderúrgica é base para outras indústrias, como construção civil, automóveis, máquinas, entre outros e, por isso, é tida como sinalizadora do desenvolvimento econômico de um país, assim também, o Brasil e a China são caracterizados como grandes potenciais emergentes e fontes de atração de investimentos internacionais

Estudo e análise estatística no mercado de ações brasileiro

The objective of this paper is to verify and analyze the existence in Brazil of stylized facts observed in financial time series: volatility clustering, probability distributions with fat tails, the presence of long run memory in absolute return time series, absence of linear return autocorrelation, gain/loss asymmetry, aggregative gaussianity, slow absolute return autocorrelation decay, trading volume/volatility correlation and leverage effect. We analyzed intraday prices for 10 stocks traded at the BM&FBovespa, responsible for 52.1% of the Ibovespa portfolio on Sept. 01, 2009. The data analysis confirms the stylized facts, whose behavior is consistent with what is observed in international markets.

Uma pesquisa sobre a opinião pública sobre incentivos financeiros para doação de óvulos no Brasil

Objective: The objective of this study was to assess the opinions of the Brazilian population about incentives for oocyte donation. Methods: A cross-sectional descriptive approach was used to consult the Brazilian public. The data collection involved the use of a structured questionnaire about legal and ethical issues surrounding oocyte donation. Individuals were randomly selected from the general population using different e-mail lists. Potential participants were contacted by e-mail and invited to participate in the study by completing an online web survey. Results: A total of 1,565 people completed the survey, including 1,284 women(82%) and 281 men(18%). Among the respondents, 1,309(83.6%) were university graduates, 1,033(66%) had a personal income ≥1,250 US dollars/month, 1,346(86%) considered themselves to be religious and 518 (33.1%) were health professionals. While many participants believed that women may donate their oocytes for altruistic reasons, the majority believed that a lack of oocyte donations is due to the prohibition of payments(64.3%) and that incentives would facilitate the decision to donate oocytes(84.7%). The majority of the participants(65.3%) agreed that a financial incentive(i.e., paying the donor) would be the most practical solution for increasing the number of oocyte donations. These results tended to be independent of gender, age, income, religion, education level and profession. Conclusion: While the Brazilian Federal Council of Medicine prohibits payments for oocyte donation, the majority of study participants had no objection to compensating oocyte donors. Moreover, most of the participants agreed that a financial incentive is the most practical solution to increasing the number of oocyte donations.

Um modelo de pré-despacho hidrotérmico para mercados de energia

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Um modelo de unit commitment hidrotérmico para o ambiente de mercados de energia

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Evolução recente dos mercados de crédito e de títulos no Brasil e sua atuação no financiamento dos macro-setores indústria, comércio e serviços (1996-2007): uma interpretação pós-keynesiana

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Impacto das tarifas em mercados de concorrência monopolística

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Um modelo de pré-despacho para o ambiente dos novos mercados de energia

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Aplicação de um sistema de Inferência Fuzzy de suporte à decisão para estimação de valores de ações cotadas na Bolsa de Valores de São Paulo

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Mapeamento de tecnologias informacionais sobre dados abertos em saúde pública: destino de repasses financeiros federais

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)