Bio
Dr. Elmo Tambosi Filho is a researcher at Methodist University with expertise in finance. His work focuses on dynamic modeling, stochastic optimizing, and non-linear programming, particularly for portfolio selection and the CAPM in the Brazilian financial market.
Experience
researcher
0 - PresentResearch
Dynamic Optimization of Portfolios 2018 to 2024
Investors are always willing to receive more data. This has become especially true for the application of modern portfolio theory to the institutional asset allocation process, which requires quantitative estimates of risk and return. When long-term data series are unavailable for analysis, it has become common practice to use recent data only. The danger is […]
Conditional CAPM using Expected Returns of Brazilian Market from 1992 to 2013: A New Approach
In the last decades, CAPM model has been of great interest in the scientific scene. Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger guarantee through financial transactions. The CAPM and its static version were and are still very important in the financial scene. Nowadays, more sophisticated adaptations of the CAPM are found, which allow us to explain some matters in finance that had remained unqualified for a couple of time. Considering such discussion about the CAPM validity, this study aims to create a basis for reflection upon the conditional model, comparing it with the static one. In order to verify such facts, tests of conditional models are examined (with beta varying throughout the exercise), something uncommonly studied in the literature. Such tests are suitable to incorporate variances and covariance that change at long run. Methodological wise, the study tested the conditional CAPM model borrowing a leaf from Jagannathan and Wang (1996) using macroeconomics and financial variables from the Brazilian New Market. Based on our findings, there is evidence that the conditional CAPM of Jagannathan and Wang (1996) for the North American market is perfectly applicable to the Brazilian New Market.
