Jose L. B. Fernandes

Universidade de Brasília

Professor

Campus Universitário Darcy Ribeiro

Brasília, Distrito Federal 70910-900

Brazil

SCHOLARLY PAPERS

24

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CITATIONS
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Top 30,829

in Total Papers Citations

7

Scholarly Papers (24)

1.

Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization

Number of pages: 55 Posted: 18 Jan 2007 Last Revised: 05 May 2008
Jose L. B. Fernandes, Juan Ignacio Peña and Benjamin M. Tabak
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration and Catholic University of Brazil (UCB)
Downloads 857 (20,265)
Citation 1

Abstract:

Behavior, Portfolio Optimization, Resampling

2.

Behavioral Finance: A Study of Affect Heuristic and Anchoring in Decision Making of Individual Investors

Number of pages: 6 Posted: 26 Nov 2013
Universidade Católica de Brasília, Universidade de Brasília, Catholic University of Brazil (UCB) and Catholic University of Brazil (UCB)
Downloads 452 (25,518)

Abstract:

Behavioral finance, Affect, Anchoring

3.

Delegated Portfolio Management and Risk Taking Behavior

Number of pages: 51 Posted: 18 May 2006 Last Revised: 04 Jan 2008
Jose L. B. Fernandes, Juan Ignacio Peña and Benjamin M. Tabak
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration and Catholic University of Brazil (UCB)
Downloads 414 (54,925)
Citation 1

Abstract:

Agency Model, Delegated Portfolio Management, Loss Aversion

4.

Minimising Operational Risk in Portfolio Allocation Decisions

Number of pages: 19 Posted: 11 Jan 2007 Last Revised: 20 Jan 2009
Jose L. B. Fernandes and Jose Renato Haas Ornelas
Universidade de Brasília and Banco Central do Brasil
Downloads 381 (60,091)
Citation 1

Abstract:

Model risk; Estimation risk, Portfolio Optimisation

Momentum and Reversal Puzzle in Emerging Markets

Number of pages: 19 Posted: 04 Mar 2005 Last Revised: 24 Mar 2008
Jose Renato Haas Ornelas and Jose L. B. Fernandes
Banco Central do Brasil and Universidade de Brasília
Downloads 336 (71,064)

Abstract:

Emerging Markets, Reversal, Momentum

Momentum and Reversal Puzzle in Emerging Markets

Icfai Journal of Behavioral Finance, Forthcoming
Posted: 13 Jun 2008
Jose Renato Haas Ornelas and Jose L. B. Fernandes
Banco Central do Brasil and Universidade de Brasília

Abstract:

Emerging Markets, Reversal, Momentum

6.

The Benefits of International Portfolio Diversification

Number of pages: 9 Posted: 14 May 2010
Jose Renato Haas Ornelas and Jose L. B. Fernandes
Banco Central do Brasil and Universidade de Brasília
Downloads 325 (57,077)

Abstract:

Diversification, Numeraire, Resampling, Risk Aversion

7.

Hidden Risks in Mean-Variance Optimization: An Intergrated-Risk Asset Allocation Proposal

INTEREST RATE MODELS, ASSET ALLOCATION AND QUANTITATIVE TECHNIQUES FOR CENTRAL BANKS AND SOVEREIGN WEALTH FUNDS, Arjan Bastiaan Berkelaar, Joachim Coche and Ken Nyholm, eds.
Number of pages: 23 Posted: 26 Nov 2008 Last Revised: 02 Oct 2010
Jose L. B. Fernandes and Jose Renato Haas Ornelas
Universidade de Brasília and Banco Central do Brasil
Downloads 298 (79,754)

Abstract:

Integrated Risk Measure, Skewness, Credit Risk

8.

How Do Prior Outcomes Affect Risk Taking Behavior? A Cross-Country Experimental Analysis

Number of pages: 34 Posted: 31 May 2006 Last Revised: 05 May 2008
Jose L. B. Fernandes, Juan Ignacio Peña and Benjamin M. Tabak
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration and Catholic University of Brazil (UCB)
Downloads 297 (77,848)

Abstract:

House Money, Myopic Loss Aversion, Behavioral Biases

9.

Yes, the Choice of Performance Measure Does Matter for Ranking of US Mutual Funds

Number of pages: 17 Posted: 13 May 2009 Last Revised: 18 Dec 2009
Banco Central do Brasil, Government of the Federative Republic of Brazil - Central Bank of Brazil and Universidade de Brasília
Downloads 278 (78,414)
Citation 3

Abstract:

Performance Measure, Rank Correlation, Sharpe Ratio

10.

A Dynamic Behavioral Approach to Strategic Asset Allocation: Living with Uncertainty and Diverse Objectives

Number of pages: 31 Posted: 26 Oct 2009 Last Revised: 31 Oct 2009
Paulo M. F. Cacella Sr. and Jose L. B. Fernandes
Government of the Federative Republic of Brazil - Central Bank of Brazil and Universidade de Brasília
Downloads 250 (92,964)

Abstract:

Dynamic Portfolio Optimization, Multi-Objective Optimization, Behavioral Finance

11.

Enterprise Risk Management (ERM): A Study of ERM Implementation Levels in Brazilian Companies

Number of pages: 5 Posted: 11 Nov 2012
Jose L. B. Fernandes, Paulo Henrique Araújo and Ernani Luiz Fernandes
Universidade de Brasília, Catholic University of Brazil (UCB) and Secretaria de Orçamento Federal
Downloads 168 (123,430)

Abstract:

ERM, corporate governance, risk management

12.

Behavioral Finance: The Aversion to Uncertainty Bias in Individual Financial Decisions

Number of pages: 8 Posted: 04 Feb 2015
Universidade de Brasília, Catholic University of Brazil (UCB), Universidade Católica de Brasília and Catholic University of Brazil (UCB)
Downloads 164 (60,091)

Abstract:

Uncertainty Bias, Gender Effect, Behavior Finance

13.

Professional Portfolio Managers - a Setting for Momentum Strategies

Number of pages: 19 Posted: 07 Feb 2007 Last Revised: 30 Jul 2008
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration, Catholic University of Brazil (UCB) and Banco Central do Brasil
Downloads 161 (146,941)
Citation 1

Abstract:

Momentum, Agency Theory, Prospect Theory

14.

Overconfidence in Individual and Group Investment Decisions

Number of pages: 5 Posted: 04 Jun 2012
Universidade de Brasília, Universidade Católica de Brasília, Catholic University of Brazil (UCB) and Catholic University of Brazil (UCB)
Downloads 142 (139,576)

Abstract:

Behavioral finance, Overconfidence, Herding behavior

15.

The Determinants of Overconfidence: An Experimental Approach

Number of pages: 5 Posted: 23 Sep 2010
Catholic University of Brazil (UCB), Catholic University of Brazil (UCB), Universidade de Brasília, Universidade Católica de Brasília and Catholic University of Brazil (UCB)
Downloads 120 (166,903)

Abstract:

Behavioral Finance, Cognitive Biases, Overconfidence

16.

Illusion of Control: Does Gender Matter?

Number of pages: 6 Posted: 23 Sep 2010
Catholic University of Brazil (UCB), Catholic University of Brazil (UCB), Universidade de Brasília, Universidade Católica de Brasília and Catholic University of Brazil (UCB)
Downloads 108 (181,295)

Abstract:

Behavioral Finance, Illusion of Control, Irrationality

17.

A Behavioral Study on the Perception of Market and Credit Risk by the Investor

Number of pages: 6 Posted: 03 Jun 2012
Universidade de Brasília, Universidade Católica de Brasília, Catholic University of Brazil (UCB) and affiliation not provided to SSRN
Downloads 71 (237,910)

Abstract:

Behavioral finance, credit risk, market risk, risk preference

18.

Rating Agencies Add Value in Credit Risk Assessment?

Number of pages: 4 Posted: 21 Sep 2011
Catholic University of Brazil (UCB), Universidade Católica de Brasília, Universidade de Brasília, Catholic University of Brazil (UCB) and Catholic University of Brazil (UCB)
Downloads 66 (268,482)

Abstract:

Crediting Rating, Default, Credit Risk

19.

Central Banks Exposure to Market Risk and the 2008 Crisis

Number of pages: 10 Posted: 03 Feb 2015
Universidade de Brasília, Catholic University of Brazil (UCB), Universidade Católica de Brasília and Catholic University of Brazil (UCB)
Downloads 14 (363,745)

Abstract:

Market risk, central banks, volatility.

20.

Information or Noise, A Study on the Accuracy of Analysts’ Forecasts in Brazil

Number of pages: 11 Posted: 18 Feb 2015
Universidade de Brasília, Catholic University of Brazil (UCB), Universidade Católica de Brasília and Catholic University of Brazil (UCB)
Downloads 6 (494,571)

Abstract:

Forecasting, Economic indicators, Financial analysts.

21.

Investment Horizon and Efficient Frontier

Number of pages: 5 Posted: 25 Dec 2015
Jose L. B. Fernandes, Jose Cavalcante Sr. and Alberto S. Matsumoto
Universidade de Brasília, Catholic University of Brazil (UCB) and Universidade Católica de Brasília
Downloads 0 (337,392)

Abstract:

Investment horizon, Efficient frontier, Investment decision

22.

Presentation Format and Individual Financial Decisions

Number of pages: 5 Posted: 18 Dec 2015
Jose L. B. Fernandes, Pedro Yukio Minagawa and Alberto S. Matsumoto
Universidade de Brasília, Catholic University of Brazil (UCB) and Universidade Católica de Brasília
Downloads 0 (438,502)

Abstract:

23.

Organizational Climate: A Comparative Study Among Public and Private Entities

Number of pages: 9 Posted: 18 Oct 2015
Universidade de Brasília, Catholic University of Brazil (UCB), Centro de Educação Superior de Brasília and Universidade Católica de Brasília
Downloads 0 (322,510)

Abstract:

Organizational climate, Leadership, Public organizations

Risk Premium: Insights over the Threshold

Universidad Carlos III De Madrid Working Paper No. 06-28
Posted: 18 May 2006
Jose L. B. Fernandes, Juan Ignacio Peña and Augusto Hasman
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration

Abstract:

Expected Shortfall, Tail Risk, Pareto Distribution, Value at Risk

Risk Premium: Insights over the Threshold

Applied Financial Economics, Forthcoming, Universidad Carlos III De Madrid Working Paper No. 06-28
Posted: 12 Jan 2007
Jose L. B. Fernandes, Juan Ignacio Peña and Augusto Hasman
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration

Abstract:

Expected Shortfall, Tail Risk, Pareto Distribution, Value at Risk