Variance analysis in time series: comparison of behavior of returns in various sector portfolios

• Grant number: 12/22030-6
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: March 01, 2013
• End date: December 31, 2013
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Statistics
• Principal Investigator: Chang Chiann
• Grantee: Esther Yanfei Jin
• Host Institution: Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil

Abstract

In this paper, we use the technics of analysis of variance in time series to study the behavior of financial returns in order to optimize the formation of investment portfolios.(AU)