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Previous issue date: 2017-03-01 === Esta dissertação propõe testar empiricamente, através de otimizações in sample, os modelos de downside risk, Sortino, Upside Pontential Ratio, Omega e Kappa, comparado-os com o tradicional CAPM, derivado a partir da fronteira de média e variância, utilizando as ações listadas no Ibovespa e Dow Jones (DJIA) para construção de carteiras de mercado para cada um dos modelos. Estas duas classes de modelos distinguem-se quanto aos pressupostos e à mensuração do risco. Enquanto o CAPM considera apenas os dois primeiros momentos da distribuição de retornos, as outras medidas levam em conta os momentos superiores. Através da distância Hansen-Jagannathan, que mede o erro de mensuração do Stochastic Discount Factor (SDF) gerado pelos modelos, observou-se grande distinção dos modelos nos dois mercados. Enquanto o CAPM performou melhor no Dow Jones, os modelos de downside risk apresentaram melhores resultados para o Ibovespa, sugerindo vantagem na utilização destes modelos em mercados com menor liquidez e maior assimetria. === This dissertation proposes empirically test the downside risk models, Sortino, Upside Pontential Ratio, Omega and Kappa, by comparing them with the traditional CAPM, derived from the mean and variance boundary, using the listed shares in the Ibovespa and Dow Jones (DJIA) for the construction of market portfolios for each of the models. These two classes of models are distinguished in terms of assumptions and risk measurement. While the CAPM considers only the first two moments of the returns distribution, the other measures take into account the higher moments of such distributions. The Hansen-Jagannathan distance, which measures the Stochastic Discount Factor (SDF) measurement error generated by the models, showed a great distinction of the models in the two markets. While the CAPM performed better in the Dow Jones, the downside risk models presented better results for the Ibovespa, suggesting an advantage in the use of such models in markets with lower liquidity and greater asymmetry.
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