Three essays on macro-finance: robustness and portfolio theory

• Ano de defesa: 2017
• Autor(a) principal: Guimarães, Pedro Henrique Engel
• Orientador(a): Almeida, Caio Ibsen Rodrigues de
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Palavras-chave em Inglês: Risk aversion; Model uncertainty; Equity premium puzzle; Detection error probability; Costs of model uncertainty; Advanced economies; Emerging market
• Link de acesso: https://hdl.handle.net/10438/19926

This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries including both Advanced Economies (AE) and Emerging Markets (EM). In the second article, we develop a general robust allocation framework that is capable of dealing with parametric and non parametric asset allocation models. In the final paper, I investigate portfolio selection criteria and analyze a set of portfolios out of sample performance in terms of Sharpe ratio (SR) and Certainty Equivalent (CEQ).