{"id":2739,"date":"2026-06-12T14:04:51","date_gmt":"2026-06-12T17:04:51","guid":{"rendered":"https:\/\/www.ufrgs.br\/ppgest\/?p=2739"},"modified":"2026-06-18T11:52:00","modified_gmt":"2026-06-18T14:52:00","slug":"ciclo-de-seminarios-2026-profa-dra-fernanda-muller","status":"publish","type":"post","link":"https:\/\/www.ufrgs.br\/ppgest\/ciclo-de-seminarios-2026-profa-dra-fernanda-muller\/","title":{"rendered":"Ciclo de Semin\u00e1rios 2026 \u2013 Profa. Dra. Fernanda Muller"},"content":{"rendered":"<p><strong>Temos o prazer de convidar a todos para o primeiro semin\u00e1rio do ano do Programa de P\u00f3s-Gradua\u00e7\u00e3o em Estat\u00edstica da UFRGS (PPGEst-UFRGS) no ano de 2026<\/strong>.<\/p>\n<p><strong>T\u00edtulo: <\/strong>Portfolio Optimization through risk-averse linear models.<\/p>\n<p style=\"text-align: justify;\"><strong>Short Bio:<\/strong> Atualmente \u00e9 professora de Finan\u00e7as da Universidade Federal do Rio Grande do Sul, atuando no Programa de P\u00f3s-gradua\u00e7\u00e3o em Administra\u00e7\u00e3o (PPGA &#8211; UFRGS), na \u00e1rea de finan\u00e7as, e no Programa de P\u00f3s Gradua\u00e7\u00e3o em Economia (PPGE &#8211; UFRGS), na \u00e1rea de economia aplicada. Bacharel em Administra\u00e7\u00e3o pela Universidade Federal de Santa Maria (2013). Mestre em Engenharia de Produ\u00e7\u00e3o (Linha: M\u00e9todos Quantitativos Aplicados \u00e0 Decis\u00e3o) pela Universidade Federal de Santa Maria (2016). Doutora em Administra\u00e7\u00e3o pela Universidade Federal do Rio Grande do Sul, \u00c1rea: Finan\u00e7as (2019). Possui interesse em Finan\u00e7as Emp\u00edricas, Gest\u00e3o de Risco, Risco de Modelo e M\u00e9todos Quantitativos Aplicados a Finan\u00e7as e Economia.<\/p>\n<p style=\"text-align: justify;\"><strong>Resumo: <\/strong>We establish a novel framework for minimum deviation portfolio optimization by directly connecting a risk-averse stochastic problem (RASP) to linear regression models. By leveraging a set of coherent risk measures and scoring functions, our methodology generalizes classical models while enabling alternative formulations that account for tail risk and asymmetric scoring functions. Using S&amp;P 100 stock data, we empirically illustrate our approach. Nonparametric hypothesis tests indicate significant differences in risk and risk-adjusted performance across RASP specifications.<\/p>\n<p style=\"text-align: justify;\">Keywords: Portfolio optimization; Risk management; Risk measures; Deviation measures; Regression models.<\/p>\n<p><strong>Data: 16\/06\/2026<br \/>\nHor\u00e1rio: 13:30<\/strong><\/p>\n<p>O semin\u00e1rio acontecer\u00e1 na modalidade <strong>presencial: <\/strong>Sala B102 &#8211; IME.<\/p>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Temos o prazer de convidar a todos para o primeiro semin\u00e1rio do ano do Programa de P\u00f3s-Gradua\u00e7\u00e3o em Estat\u00edstica da UFRGS (PPGEst-UFRGS) no ano de 2026. T\u00edtulo: Portfolio Optimization through risk-averse linear models. Short Bio: Atualmente \u00e9 professora de Finan\u00e7as da Universidade Federal do Rio Grande do Sul, atuando no Programa de P\u00f3s-gradua\u00e7\u00e3o em Administra\u00e7\u00e3o &hellip;<\/p>\n<p class=\"read-more\"> <a class=\"\" href=\"https:\/\/www.ufrgs.br\/ppgest\/ciclo-de-seminarios-2026-profa-dra-fernanda-muller\/\"> <span class=\"screen-reader-text\">Ciclo de Semin\u00e1rios 2026 \u2013 Profa. Dra. Fernanda Muller<\/span> Read More &raquo;<\/a><\/p>\n","protected":false},"author":1,"featured_media":2740,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"default","ast-global-header-display":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"default","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","footnotes":""},"categories":[13],"tags":[],"_links":{"self":[{"href":"https:\/\/www.ufrgs.br\/ppgest\/wp-json\/wp\/v2\/posts\/2739"}],"collection":[{"href":"https:\/\/www.ufrgs.br\/ppgest\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.ufrgs.br\/ppgest\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppgest\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppgest\/wp-json\/wp\/v2\/comments?post=2739"}],"version-history":[{"count":3,"href":"https:\/\/www.ufrgs.br\/ppgest\/wp-json\/wp\/v2\/posts\/2739\/revisions"}],"predecessor-version":[{"id":2749,"href":"https:\/\/www.ufrgs.br\/ppgest\/wp-json\/wp\/v2\/posts\/2739\/revisions\/2749"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppgest\/wp-json\/wp\/v2\/media\/2740"}],"wp:attachment":[{"href":"https:\/\/www.ufrgs.br\/ppgest\/wp-json\/wp\/v2\/media?parent=2739"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppgest\/wp-json\/wp\/v2\/categories?post=2739"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppgest\/wp-json\/wp\/v2\/tags?post=2739"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}