<div dir="ltr"><br clear="all"><div><div dir="ltr" class="gmail_signature" data-smartmail="gmail_signature"><div dir="ltr"><div><div><p class="MsoNormal" style="margin:0cm 0cm 0.0001pt;line-height:normal;font-size:11pt;font-family:Calibri,sans-serif"><span style="font-size:12pt;font-family:Arial,sans-serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Bom dia,</span><span style="font-size:12pt;font-family:Arial,sans-serif"><br>
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<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Temos o prazer de convidar a todos para mais um
seminário do Ciclo de Seminários 2021 do Programa de Pós-Graduação em
Estatística da UFRGS (PPGEst-UFRGS). Informações abaixo:</span><br>
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<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Evento: Ciclo de Seminários 2021 do PPGEst-UFRGS
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<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Palestrante: Dr. Hudson da Silva
Torrent (UFRGS)</span><br>
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<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Título:  Semiparametric Portfolios:
Improving Portfolio Performance by Exploiting Non-Linearities in Firm
Characteristics</span><br>
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<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Resumo:  We present a semiparametric
portfolio optimization method in which portfolio weights are parameterized as a
non-linear function of firm characteristics. This approach generalizes the
linear parametric portfolio policy of Brandt et al. (2009) and can be applied
to high-dimensional problems involving hundreds or thousands of stocks. An
empirical implementation exploiting the size, value, and momentum anomalies in
the universe of CRSP stocks reveals that non-linearities as well as interaction
effects are both important and complementary for the portfolio construction
problem. Moreover, an out-of-sample evaluation indicates that the
semiparametric strategies perform well in terms of returns, risk, and
risk-adjusted returns both in the absence and in the presence of transaction
costs. Our evidence suggests that allowing for a more flexible relation between
portfolio weights and firm characteristics can provide a more accurate
description of the empirical patterns seen in data.</span><br>
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<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Data: 25 de outubro de 2021 (segunda-feira)</span><br>
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<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Horário: 14h00 às 15:20 (60 min de apresentação
e 20 min para perguntas)</span><br>
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<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Local: Ambiente virtual Mconf. Link: </span></span><span style="font-size:12pt;font-family:"Times New Roman",serif"><a href="https://mconf.ufrgs.br/webconf/ppgest" target="_blank"><span style="font-family:Arial,sans-serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">https://mconf.ufrgs.br/webconf/ppgest</span></a></span><span style="font-size:12pt;font-family:Arial,sans-serif"><br>
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<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Moderador: Prof. Marcio Valk (PPGEst-UFRGS)</span><br>
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<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Contamos com a presença de todos.</span><br>
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<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">PPGEst-UFRGS</span><br>
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<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Marcio Valk</span></span><span style="font-size:12pt;font-family:"Times New Roman",serif"></span></p></div><br></div></div></div></div></div>