Yuri Saporito

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

Praia de Botafogo

Rio de Janeiro, 22250-900

Brazil

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

SCHOLARLY PAPERS

8

DOWNLOADS

1,915

TOTAL CITATIONS

1

Scholarly Papers (8)

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1.

Optimal Trading in Automatic Market Makers with Deep Learning

Number of pages: 14 Posted: 18 Apr 2023
Sebastian Jaimungal, Yuri Saporito, Max O. Souza and Yuri Thamsten
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 664 (86,119)

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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: 43 Posted: 23 May 2023 Last Revised: 30 Oct 2024
Silvana M. Pesenti, Sebastian Jaimungal, Yuri Saporito and Rodrigo Targino
University of Toronto, University of Toronto - Department of Statistics, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 344 (189,824)

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

3.

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 257 (257,257)

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Capital Structure, Debt Maturity, Term Structure.

4.

Vanishing Contagion Spreads

Number of pages: 57 Posted: 15 Dec 2017 Last Revised: 29 Dec 2020
Diogo Duarte, Rodolfo Prieto, Marcel Rindisbacher and Yuri Saporito
Florida International University, INSEAD, Boston University - Questrom School of Business and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 209 (314,745)
Citation 1

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

5.

Press Freedom as a Risk Factor: Effects on Volatility and Uncertainty

Number of pages: 42 Posted: 04 Mar 2025
Diogo Duarte, Florent Rouxelin, Yuri Saporito and Rodrigo Targino
Florida International University, Florida International University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 129 (486,532)

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Press Freedom, Novel Risk, Economic Policy Uncertainty, Financial Market Volatility, Portfolio Risk, Media-Driven Financial Risk JEL Classification: C32, D80, G12, G17, G41

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 116 (518,390)

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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 109 (543,074)

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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 87 (631,929)

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Risk Management, Capital Allocation, Malliavin Calculus

Other Papers (1)

Total Downloads: 169
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1.

The Impact of the Freedom of the Press on Risk

Number of pages: 36 Posted: 14 Aug 2018 Last Revised: 05 Mar 2025
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 169 (368,924)

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