A parametric portfolio policy for bonds and stocks
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Data
2025-06-05
Autores
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Mendes, Eduardo Fonseca
Fernandes, Marcelo
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The objective is to develop an adherent allocation strategy that closely aligns with the profile of a representative investor. Initially, we identify the sensitivity of different asset classes to a comprehensive set of risk factors, irrespective of the originating asset class of these factors. The sensitivities estimated relative to these risk factors are subsequently employed as a characteristic vector for the assets within a parametric optimization framework. Additionally, a novel utility function grounded in behavioral economics principles is introduced to explore how variations in investor preferences influence portfolio performance