Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching

dc.contributor.authorOliveira, André Barbosa
dc.contributor.authorPereira, Pedro L. Valls
dc.contributor.unidadefgvEscolas::EESPpor
dc.date.accessioned2018-03-09T14:05:32Z
dc.date.available2018-03-09T14:05:32Z
dc.date.issued2018-03
dc.description.abstractAsset allocation is important for diversifying risk and realizing gains in the financial market. It involves decisions taken under uncertainty based on statistical methods. Returns on financial assets generally present regime switching and there are different distributions of returns in bull and bear markets. Regime switching in the data generating process for returns makes it necessary to reformulate the asset allocation problem. This paper develops asset allocation models with regime switching. Due to the comparative study of asset allocation, portfolios with regime switching enable the space of risk and return to be increased, reduce the risk for each level of return at the mean variance efficient frontier, and have the best risk-return relationship over time.eng
dc.identifier.siciTD 471
dc.identifier.urihttps://hdl.handle.net/10438/20479
dc.language.isoeng
dc.relation.ispartofseriesEESP - Textos para Discussão; TD 471
dc.rights.accessRightsopenAccesseng
dc.subjectPortfolio theoryeng
dc.subjectTime series models with Markovian regime switchingeng
dc.subjectOptimization theoryeng
dc.subject.areaEconomiapor
dc.subject.bibliodataAlocação de ativospor
dc.subject.bibliodataAnálise de séries temporaispor
dc.subject.bibliodataInvestimentospor
dc.subject.bibliodataAdministração de risco financeiropor
dc.titleAsset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switchingeng
dc.typeWorking Papereng
Arquivos
Pacote Original
Agora exibindo 1 - 1 de 1
Carregando...
Imagem de Miniatura
Nome:
TD 471_CEQEF 42.pdf
Tamanho:
2 MB
Formato:
Adobe Portable Document Format
Descrição:
TD 471 - André Barbosa Oliveira - Pedro L. Valls Pereira
Licença do Pacote
Agora exibindo 1 - 1 de 1
Nenhuma Miniatura disponível
Nome:
license.txt
Tamanho:
4.6 KB
Formato:
Item-specific license agreed upon to submission
Descrição: