Otimização de portfólio utilizando como métricas de retorno medidas de posição central

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

Variabilidade entre materiais genéticos de eucalyptus spp quanto à distribuição de raízes finas em latossolos profundos

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Localização e preço de contrato ótimo da geração distribuída em sistemas de distribuição radiais de energia elétrica

Pós-graduação em Engenharia Elétrica - FEIS

Influência do exercício prévio pesado na performance aeróbia de curta duração realizada com diferentes estratégias de distribuição da intensidade em indivíduos treinados e não treinados no ciclismo

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Distribuição espacial e determinação da depreciação quantitativa e qualitativa causada por Tetranychus ogmophallos (Acari: Tetranychidae) ao amendoinzeiro

Pós-graduação em Agronomia (Entomologia Agrícola) - FCAV

Distribuição espacial e temporal de Brevipalpus phoenicis (Acari: Tenuipalpidae) virulíferos e da leprose-dos-citros em pomares em controle químico

Pós-graduação em Agronomia (Entomologia Agrícola) - FCAV

Distribuição espacial de Enneothrips flavens, Moulton 1941 (Thysanoptera: Thripidae), na cultura do amendoim, utilizando geoestatística

Pós-graduação em Agronomia (Entomologia Agrícola) - FCAV

A competição interespecífica explica a distribuição espacial de macrófitas aquáticas em estuários?

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Diversidade e distribuição de siris (Decapoda: Brachyura: Portunidae) e dinâmica populacional de Callinectes ornatus no litoral norte de São Paulo

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Alocação de bancos de capacitores em sistemas de distribuição radiais usando busca dispersa

Pós-graduação em Engenharia Elétrica - FEIS

Heurística especializada aplicada na alocação ótima de bancos de capacitores em sistemas de distribuição radial

Pós-graduação em Engenharia Elétrica - FEIS

Análise da aplicação da gestão de projetos por corrente crítica nos processos de desenvolvimento de produtos e na gestão de portfólio de um fabricante de aeronaves

Pós-graduação em Engenharia de Produção - FEB

Distribuição espacial das assembleias de peixes em dois trechos do alto rio Paranapanema e lagoas marginais associadas: composição e estrutura

Ichthyofaunistic studies aims to broad the knowledge of composition, abundance and distribution of species in certain areas, and when possible, to infer patterns of distribution, as well as extrinsic factors that affect these patterns in space and time. The Paranapanema River suffers the impact of the construction of hydroelectric power plants in cascade system along its main channel, changing the characteristics of lotic to lentic and semi-lentic. These changes affect the entire biocenosis and the surroundings of the reservoir and, in particular, the fish fauna. In this context, the aim of this study was to characterize the fish assemblage in two lakes and stretches of the main channel, located near the outfall of the Paranapanema River, Jurumirim reservoir area, comparing them to their composition and structure, using ecological indices as tools. Fish were caught every three months from April 2011 to January 2013, using gill nets of various mesh openings in four stretches: Environment 1 - Calha Sete Ilhas, Environment 2 - Calha Poço da Pedra, Environment 3 - Lagoa Sete Ilhas and Environment 4 - Lagoa Poço de Pedra. After the capture, the specimens were identified and biometric analysis was performed (total and standard length weight). We captured 4,006 individuals belonging to four orders and 34 species, 31 native species and three non-native species. In abundance (n) and number of species (S), there was a predominance of Characiformes (57 %) followed by Siluriformes (31%). Overall, most of the species was constant concerning the frequency of capture. The five most representative species in abundance were Schizodon intermedius, Cyphocarax modestus, Pimelodus maculatus, Hoplosternum littorale and Serrasalmus maculatus, contributing with 60% of total individuals captured. Regarding the stretches, these species present diversity (H'), evenness (E), dominance (D) and richness (d) of similar species, since the abundance was higher in ...

A gênese e a distribuição socioespacial das chuvas no município de Ubatuba-SP

This monograph aims to contribute to the understanding and analysis of extreme events and its correlation with anthropogenic actions, in order to understand the levels of human interference in the environment and to identify potential social and environmental damage that such events may result in Ubatuba, located on the northern coast of São Paulo state. Therefore, two strategies were established, on one hand, episodic analysis of extreme weather events, and on the other, the analysis of the impact of atmospheric phenomena in everyday society. In this case we gave greater emphasis to analysis years that had higher total rainfall. In this sense, the research was based on the standard deviation technique and percentages, which supported to characterize the exceptional rainy years, in addition, use of rhythm analysis technique that has helped to identify the active atmospheric systems. From a qualitative point of view, field works were carried out in order to make use of news by the local press and civil defense for years considered extreme (positive standard deviation). From this, it was analyzed how the extreme episodes of rainfall trigger repercussions in geographic space. Also the spatial distribution of rainfall were carried out by means of quantitative analysis of six rain gauges. It was found that the highest occurrences of impacts, are located in the central areas of the city, as well as the highest rainfall totals. In fact, Ubatuba/SP suffers from very high rainfall totals and has a singularity on the climate...

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