Yuri Saporito

Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics

Praia de Botafogo

Rio de Janeiro, 22250-900

Brazil

SCHOLARLY PAPERS

8

DOWNLOADS

1,550

SSRN CITATIONS

5

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Optimal Trading in Automatic Market Makers with Deep Learning

Number of pages: 14 Posted: 18 Apr 2023
University of Toronto - Department of Statistics, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, UFF - Universidade Federal Fluminense - Instituto de Matemática e Estatística and UFF - Universidade Federal Fluminense - Instituto de Matemática e Estatística
Downloads 583 (86,798)

Abstract:

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Cryptocurrency, Optimal Trading, Automatic Market Makers, Decentralized Finance, Deep learning, Stochastic Control

2.

Risk Budgeting Allocation for Dynamic Risk Measures

Number of pages: 34 Posted: 23 May 2023 Last Revised: 24 Jun 2023
University of Toronto - Department of Statistics, University of Toronto, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 241 (232,883)

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Dynamic Risk Measures, Portfolio Allocation, Risk Parity, Elicitability, Deep Learning

3.

Vanishing Contagion Spreads

Number of pages: 57 Posted: 15 Dec 2017 Last Revised: 29 Dec 2020
Florida International University, INSEAD, Boston University - Questrom School of Business and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 188 (293,494)
Citation 1

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Credit Risk, Credit Spreads, Contagion, Exchange Economy, Equilibrium, Idiosyncratic shocks, Risk Premia Representation

4.

Capital Structure and the Yield Curve

Number of pages: 74 Posted: 02 Feb 2022 Last Revised: 15 Aug 2022
Diogo Duarte, Özde Öztekin and Yuri Saporito
Florida International University, Florida International University (FIU) and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 149 (358,229)

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Capital Structure, Debt Maturity, Term Structure.

5.

The Impact of the Freedom of the Press on Risk

Number of pages: 36 Posted: 14 Aug 2018 Last Revised: 12 Dec 2018
Diogo Duarte, Yuri Saporito and Rodrigo Targino
Florida International University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 147 (362,213)

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Freedom of the Press, Economic Policy Uncertainty, Volatility, Financial Markets, Bayesian Vector Autoregression (VAR)

6.

Endogenous Asymmetric Money Illusion

Number of pages: 67 Posted: 27 Apr 2018 Last Revised: 17 Oct 2019
Diogo Duarte and Yuri Saporito
Florida International University and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 104 (470,834)

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Money Illusion, Modigliani-Cohn Hypothesis, Money Superneutrality, Asset Pricing

7.

Uma análise do risco de fundos de ações brasileiros em 2020 (An Analysis of the Risk of Brazilian Equity Funds in 2020)

Number of pages: 11 Posted: 03 May 2021
David Evangelista, Yuri Saporito and Rodrigo Targino
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 83 (544,242)

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Risco de portfólio, Contribuição marginal, Value-at-Risk, GARCH, Cópula, EVT

8.

Avoiding Zero Probability Events When Computing Value at Risk Contributions: A Malliavin Calculus Approach

Number of pages: 14 Posted: 28 May 2020
Yuri Saporito and Rodrigo Targino
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 55 (676,560)

Abstract:

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Risk Management, Capital Allocation, Malliavin Calculus