[ABE-L] Divulgação Seminário PPGEst-UFRGS

[Marcio Valk]

Bom dia,

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:

Evento: Ciclo de Seminários 2021 do PPGEst-UFRGS

Palestrante: Dr. Hudson da Silva Torrent (UFRGS)

Título:  Semiparametric Portfolios: Improving Portfolio Performance by
Exploiting Non-Linearities in Firm Characteristics

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.

Data: 25 de outubro de 2021 (segunda-feira)

Horário: 14h00 às 15:20 (60 min de apresentação e 20 min para perguntas)

Local: Ambiente virtual Mconf. Link: https://mconf.ufrgs.br/webconf/ppgest

Moderador: Prof. Marcio Valk (PPGEst-UFRGS)

Contamos com a presença de todos.

PPGEst-UFRGS

Marcio Valk
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