ALOCAÇÃO DE ACTIVOS

Conheça alguns dos melhores artigos académicos fundamentais para uma melhor compreensão dos mercados financeiros.


  • Brinson, Gary P., L. Randolph Hood and Gilbert L. Beebower, “Determinants of Portfolio Performance”, Financial Analysts Journal, January-February, 1995.Download
  • Brinson, Gary P., Brian D. Singer and Gilbert L. Beebower, “Determinants of Portfolio Performance II: An Update”, Financial Analysts Journal, May-June 1991.Download
  • Ibbotson, Roger G. and Paul D. Kaplan, “Does Asset Allocation Policy Explain 40, 90 or 100 Percent of Performance?”, Financial Analysts Journal, 2000. Download

PORTFOLIO PERFORMANCE

  • Sharpe, William F., “Asset Allocation: Management Style and Performance Measurement”, Journal of Portfolio Management, Winter, 1992Download
  • Sharpe, William F., “Mutual Fund Performance”, The Journal of Business,Download

VALUE-AT-RISK

  • J.P. Morgan Bank, RiskMetrics Technical Document, 4d ed., 1996Download

HEDGE FUNDS

  • Monteiro, Paulo, “Forecasting Hedge Funds Volatility: A Risk Management Approach”, Working Paper, ISCTE, 1994Download

RISCO DE CRÉDITO

  • Vasicek, Oldrich A., “The Distribution of Loan Portfolio Value”, Risk, December 2002Download