Not all that glitters is RMT in the forecasting of risk of portfolios in the Brazilian stock market

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dc.contributor.authorSandoval Junior, Leonidas
dc.contributor.authorADRIANA BRUSCATO BORTOLUZZO
dc.contributor.authorVenezuela, Maria Kelly
dc.coverage.paisNão Informadopt_BR
dc.creatorSandoval Junior, Leonidas
dc.creatorVenezuela, Maria Kelly
dc.date.accessioned2022-08-15T15:07:12Z
dc.date.available2022-08-15T15:07:12Z
dc.date.issued2014
dc.description.otherUsing stocks of the Brazilian stock exchange (BM&F-Bovespa), we build portfolios of stocks based on Markowitz’s theory and test the predicted and realized risks. This is done using the correlation matrices between stocks, and also using Random Matrix Theory in order to clean such correlation matrices from noise. We also calculate correlation matrices using a regression model in order to remove the effect of common market movements and their cleaned versions using Random Matrix Theory. This is done for years of both low and high volatility of the Brazilian stock market, from 2004 to 2012. The results show that the use of regression to subtract the market effect on returns greatly increases the accuracy of the prediction of risk, and that, although the cleaning of the correlation matrix often leads to portfolios that better predict risks, in periods of high volatility of the market this procedure may fail to do so. The results may be used in the assessment of the true risks when one builds a portfolio of stocks during periods of crisis.pt_BR
dc.format.extentp. 94-109pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttps://doi.org/10.1016/j.physa.2014.05.006pt_BR
dc.identifier.issn0378-4371pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/3992
dc.identifier.volume410pt_BR
dc.language.isoInglêspt_BR
dc.publisherElsevierpt_BR
dc.relation.ispartofPhysica A: Statistical Mechanics and its Applicationspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsPortfolio buildingpt_BR
dc.subject.keywordsCovariance matrixpt_BR
dc.subject.keywordsRandom Matrix Theorypt_BR
dc.subject.keywordsSingle Index Modelpt_BR
dc.subject.keywordsBM&F-Bovespapt_BR
dc.titleNot all that glitters is RMT in the forecasting of risk of portfolios in the Brazilian stock marketpt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://www.sciencedirect.com/science/article/pii/S0378437114003707
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublicationccfd47d5-bd80-4464-98ce-629abb672e3d
relation.isAuthorOfPublication.latestForDiscoveryccfd47d5-bd80-4464-98ce-629abb672e3d
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