Mestrado em Economia (FACE)
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Navegando Mestrado em Economia (FACE) por Por Orientador "Holanda, Francisco Bruno de Lima"
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Item Uso da medida de risco CVaR para estimação de retornos de fundos multimercados brasileiros(Universidade Federal de Goiás, 2019-06-06) Santos, Ana Carolina Caetano dos; Holanda, Francisco Bruno de Lima; http://lattes.cnpq.br/0680905827894606; Holanda, Francisco Bruno de Lima; Cruz, Alethéia Ferreira da; Monsueto, Sandro EduardoThe Brazilian hedge funds industry has grown significantly in recent years. It is currently the second largest class of funds, second only to Fixed Income funds. Given the importance of this category, this dissertation aims to analyze the relationship between risk and return of hedge funds. For this, the Conditional Value at Risk is used as a measure of risk, a measure with valuable properties in relation to the traditional measures such as variance. The relationship between risk and return was verified through the creation of portfolios, such as those of Fama and French (1993), and regressions with panel data. The data contain information from 326 brazilian hedge funds from january 2010 to december 2017. It should be noted that hedge funds portfolios with higher CVaR (risk) have a low average return and high volatility, while lower risk portfolios have, on average, better performance and lower volatility. Analyzing the multimarket funds individually, through regressions with panel data, a direct relationship between risk and funds monthly return is observed. The size of funds seems to be indirectly related to active funds and direct related with closed funds. The age of the funds did not present a significant relationship with returns from hedge funds.Item Discriminação de preços de terceiro grau com externalidade em oligopólio de Cournot(Universidade Federal de Goiás, 2020-05-06) Vilasboas, Anna Eloyr Silveira; Holanda, Francisco Bruno de Lima; http://lattes.cnpq.br/0680905827894606; Holanda, Francisco Bruno de Lima; Maldonado, Wilfredo Leiva; Torres, Juan Pablo GamaFirms often find it profitable to segment customers according to their demand sensitivity and to price discriminate accordingly. In some settings, consumer heterogeneity can be directly observed, and a firm can base its pricing upon contractible consumer characteristics. In this context, the presente dissertation analyses olipolistic third-degree price discrimination in the presence of consumption externalities within female and male markets. Assuming linear inverse demands, we investigate an associated change in social welfare (the sum of the consumers’ surpluses and the producer’s profit) with the regime change from uniform pricing to price discrimination when both markets are open under either regime. It is shown that social welfare and men’s consumer surlus does not is unaffected by the regime change. However, women’s consumer surplus increases with price discriminated.