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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)

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