Fernanda Maria Müller

Universidade Federal do Rio Grande do Sul (UFRGS)

PhD Student

Washington Luiz, 855

Porto Alegre, 90010-460

Brazil

SCHOLARLY PAPERS

8

DOWNLOADS

1,141

TOTAL CITATIONS

17

Scholarly Papers (8)

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1.

Model Risk Measures: A Review and New Proposals on Risk Forecasting

Number of pages: 35 Posted: 05 Dec 2019 Last Revised: 17 Mar 2020
Fernanda Maria Müller and Marcelo Righi
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 229 (287,036)
Citation 6

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Model Risk, Risk Forecasting, Model Risk Measures, Robust Finance, Review

2.

A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints

Downloads 221 (296,955)
Citation 5

A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints

Number of pages: 34 Posted: 27 Jun 2022
Henrique Ramos, Marcelo Righi, Pablo Guedes and Fernanda Maria Müller
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS), Federal University of Rio Grande do Sul (UFRGS/PPGA) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 173 (371,705)

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cardinality constraints, coherent risk measures, risk, linear portfolio optimization, EVaR

A Comparison of Risk Measures for Portfolio Optimization with Cardinality Constraints

Number of pages: 37 Posted: 25 Aug 2022
Henrique Ramos, Marcelo Righi, Pablo Cristini Guedes and Fernanda Maria Müller
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 48 (879,015)
Citation 5

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cardinality constraints, coherent risk measures, Risk, linear portfolio optimization, EVaR

3.

Numerical Comparison of Multivariate Models to Forecasting Risk Measures

Number of pages: 32 Posted: 29 Apr 2017 Last Revised: 31 Mar 2018
Fernanda Maria Müller and Marcelo Righi
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 147 (427,612)
Citation 4

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Risk measures, DCC-GARCH, copulas, model risk, Monte Carlo simulation.

4.

Can AI beat a naive portfolio? An Experiment with Anonymized Data

Number of pages: 18 Posted: 09 Oct 2024
Marcelo Perlin, Cristian Rogério Foguesatto, Fernanda Maria Müller and Marcelo Righi
Escola de Administração - UFRGS, Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 144 (437,272)

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LLM, regenerative AI, artificial intelligence, Gemini, Investments, ChatGPT, large language models

5.

Range Based Risk Measures and Their Applications

Number of pages: 37 Posted: 07 Mar 2022
Marcelo Righi and Fernanda Maria Müller
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 108 (544,003)
Citation 2

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Financial risk, Tail risk measures, Range based risk measures, Risk forecasting.

6.

Can Ai Beat a Naive Portfolio? An Experiment with Anonymized Data

Number of pages: 19 Posted: 12 Sep 2024
Marcelo Perlin, Cristian Foguesatto, Fernanda Maria Müller and Marcelo Righi
Universidade Federal do Rio Grande do Sul (UFRGS), affiliation not provided to SSRN, Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 104 (559,456)

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LLM, regenerative AI, Artificial Intelligence, Gemini, Investments, ChatGPT, Large language models

7.

A Comparison of Range Value at Risk (RVaR) Forecasting Models

Number of pages: 36 Posted: 14 Dec 2023
Fernanda Maria Müller, Thalles Weber Gössling, Samuel Solgon Santos and Marcelo Righi
Universidade Federal do Rio Grande do Sul (UFRGS), Federal University of Rio Grande, University of Waterloo and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 100 (575,299)

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Range Value at Risk (RVaR); Risk forecasting; Univariate model; Multivariate model

8.

Emerging Market Return Pricing: An Intertemporal and Interquantile Approach

Engineering Economics, v. 25, i. 4, pp. 387-394, 2014.
Number of pages: 14 Posted: 03 Dec 2012 Last Revised: 23 Jan 2015
Bruno Milani, Fernanda Maria Müller, Paulo Sergio Ceretta and Marcelo Righi
Federal University of Santa Maria, Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Maria and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 88 (624,078)

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Emerging Markets, ICAPM, Copula-DCC-GARCH