In this paper, we examine optimal portfolio decisions within a decentralized framework. There are many portfolio managers choosing optimal portfolio weights in a mean-variance framework and taking decisions in a decentralized way. However, the overall portfolio may not be efficient, as the...

This paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the...

In this paper the random walk hypothesis is tested for a set of daily Brazilian stock data given by the São Paulo Stock Exchange Index (IBOVESPA) in the period of 1986-1998. A rolling variance ratio test for different investment horizons was conducted, and it is concluded that prior to 1994 the...

This paper compares different versions of the multiple variance ratio test based on bootstrap techniques for the construction of empirical distributions. It also analyzes the crucial issue of selecting optimal block sizes when block bootstrap procedures are used, by applying the methods...

Standard models of moral hazard predict a negative relationship between risk and incentives; however empirical studies on mutual funds present mixed results. In this paper, we propose a behavioral principal-agent model in the context of professional managers, focusing on active and passive...

In this paper we examine the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility, in the period of February 1999 to June 2000. Our results are in line with recent literature, suggesting that the implied volatility obtained from a...

Within a mean-variance model we analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in <i>n</i> different markets, which is called the optimal centralized portfolio. However, as there are many traders...

This paper examines the information content of COPOM decisions to change or to leave unchanged monetary policy by estimating the responses of the term structure to changes in the target for interest rates on COPOM meeting days. Within an event-study approach the evidence suggests that market...

This paper examines the empirical evidence that official interventions are associated with periods of high predictability in exchange rate markets. We employ a block bootstrap methodology to build critical values for the Variance Ratio statistics and test for predictability within moving windows...

In this paper the Expectations Hypothesis (EH) is tested using cointegration techniques, for maturities ranging from 1-month to 12-months, for the Brazilian market. We found evidence suggesting that for the period 1995-2001, the cointegration implication generally seems to hold. We also found...