期刊名称：BRE : Brazilian Review of Econometrics / Sociedade Brasileira de Econometria
印刷版ISSN：0101-7012
出版年度：2005
卷号：25
期号：2
页码：139-139–157
出版社：Rio de Janeiro
摘要：Emerging markets are known to have unique characteristics when compared to more
developed markets. The direct use of standard mathematical models proposed and tested
in more developed markets is not always recommended in emerging markets. Extreme
events in emerging markets have already been verified to distort the results obtained when
using standard mathematical models in several situations, including optimal portfolio
structuring. Practitioners working in the asset management industry in emerging markets
have not yet incorporated optimization models into their routine. One of the reasons for
that is that extreme events and/or economic discontinuities (such as the Brazilian and
the Argentinean devaluation crises etc.) modify the financial environment in such a way
that past data become of little use when looking forward. In this article we concentrate
on proposing a methodology to handle extreme events. Two numerical examples taken
from the Brazilian stock market are used to illustrate the use of our proposal.
