Jose Renato Haas Ornelas
Jose Renato Haas Ornelas
Welcome to my Personal webpage. Feel free to browse around. You can find some links on the left with the sections of the website. I hope you can find interesting and useful things.
January 5th, 2010 - The article 'Hidden Risks in Mean Variance Optimization',written together with José Luiz Fernandez, was published as a chapter of the book 'Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds', organized by Arjan B. Berkelaar, Joachim Coche and Ken Nyholm. Click here to buy the book.
December, 1st 2009 - The article 'Accounting for Skewness in Performance Evaluation of Brazilian Mutual Fund' written together with Aquiles Farias and Antonio Francisco Silva Junior, was published by Banking and Finance Review
November 17th 2009 - The article 'A Performance Attribution Methodology for Fixed Income Portfolios' written together with Antonio Francisco Silva Jr and Pablo Carvalho, was presented in the 'Joint ECB-BIS-World Bank Public Investors Conference 2009', in Washington DC.
May, 19th 2009 - The article 'Recovering Risk-Neutral Densities from Brazilian Interest Rate Option', written with Marcelo Takami, was accepted from presentation on the IX Brazilian Finance Meeting.
February, 10th 2009: My article 'Professional portfolio managers: a setting for momentum strategies', written together with José Luiz Fernandez, Benjamin Tabak e Ignacio Pena was accepted for publication in the 'Revista Economía Financiera', from Spain.
January, 11th 2009: My article 'Minimising Operational Risk in Portfolio Allocation Decisions' written together with José Luiz Fernandez, was accepted for publication in the 'Journal of Risk Management in Financial Institutions'.
August, 4th 2008: My article 'Manipulation-Proof Performance Evaluation of Brazilian Fixed Income and Multimarket Funds' written together with Aquiles Farias and Antonio Francisco Silva Junior won the fourth prize of the Technical Articles Contest of the APIMEC (Brazilian Association of Investment Professionals)
August, 3rd 2008: My article 'Goodness-of-Fit Test Focuses on Conditional Value at Risk' written together with Aquiles Farias e José Fajardo was accepted for publication on the Brazilian Finance Review.
June, 13th 2008: My article 'Momentum and Reversal Puzzle in Emerging Markets', written together with José Luiz Fernandez, was accepted for publication in the ICFAI Journal of Behavioral Finance. Click Here to see the website of the Journal of Financial Behavioral Finance.
June, 6th 2008: My article 'Manipulation-Proof Performance Evaluation of Brazilian Fixed Income and Multimarket Funds' written together with Aquiles Farias e Antonio Francisco Silva Junior was accepetd for presentation on the VIII Brazilian Finance Meeting.
March, 26th 2008: My article 'Integrating Market and Credit Risk in Stochastic Portfolio Optimization', written together with José Luiz Fernandez and Marcelo Takami, was published in the ICFAI Journal of Financial Risk Management. Click Here to see the website of the Journal of Financial Risk Management.
February, 9th 2008: Today I am celebrating 10 years in the Central Bank of Brazil.