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CAPM Condicional: Betas Variantes no Tempo no Mercado Brasileiro
The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variablesExpand
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Performance Analysis of Sustainable Investments in the Brazilian Stock Market: A Study About the Corporate Sustainability Index (ISE)
In this article, we studied the Corporate Sustainability Index (ISE) of the Brazilian Mercantile, Futures and Stock Exchange (BM&FBOVESPA), with the main objective of analyzing the performance ofExpand
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On the comparison of Schwartz and Smith’s two- and three-factor models on commodity prices
Since Schwartz and Smith (2000) published their study on two-factor model on commodity prices, many studies have used this model and others have extended it. The authors also proposed theExpand
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Economic valuation of a toll road concession with traffic guarantees and the abandonment option
Governments worldwide have been encouraging private participation in transportation infrastructure. To increase the feasibility of a project, public-private partnership (PPP) may include guaranteesExpand
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Produtividade e eficiência no mercado de fundos de investimento no Brasil: uma abordagem comparativa
This paper applies the method known as data envelopment analysis (DEA) to acess the performance of investment funds in Brazil during the period 2012-2014, evaluating a representative sample that isExpand
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Análise e Avaliação do Equity Premium Puzzle no Mercado Acionário Brasileiro sob Diferentes Contextos Econômicos
Este artigo avalia o Equity Premium Puzzle (EPP) em diferentes contextos vividos pela economia brasileira no periodo de 1990 ate 2005. As series temporais foram divididas em duas partes, tendo comoExpand
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Análise e avaliação de flexibilidades input-output em projetos de plantas na industria do petróleo: uma aplicação da teoria das opções reais e da simulação estocástica
Investments in the oil and petrochemical industries are frequently medium/long term, rich in real options (managerial and/ or operational flexibilities), with a high degree of irreversibility, andExpand
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Canonical correlation analysis in the definition of weight restrictions for data envelopment analysis
This work investigates the use of canonical correlation analysis (CCA) in the definition of weight restrictions for data envelopment analysis (DEA). With this purpose, CCA limits are introduced intoExpand
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EFFICIENT DETERMINATION OF HELIPORTS IN THE CITY OF RIO DE JANEIRO FOR THE OLYMPIC GAMES AND WORLD CUP: A FUZZY LOGIC APPROACH
The objective of this study was to determine a method for evaluating the use and adaptation of Helicopter Landing Zones (HLZs) and their requirements for registered public-use for the Olympic GamesExpand
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Complex derivatives valuation: applying the Least-Squares Monte Carlo Simulation Method with several polynomial basis
BackgroundThis article investigates the Least-Squares Monte Carlo Method by using different polynomial basis in American Asian Options pricing. The standard approach in the option pricing literatureExpand
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