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Strategic asset allocation in Brazil
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Resumo(s)
We study the impact of asset returns’ predictability on optimal portfolio allocation,
considering investors concerned with a steady flow of long-term consumption. Relying on a
monthly database for 2006-2016, the analysis focuses on the Brazilian context covering
returns on (1) a real short-term asset, (2) a long-term asset, (3) a Brazilian stock index, and
five other state variables. Predictability of long-term assets returns has a significant impact on
their overall optimal demand. In addition, by using the S&P500 index we show that foreign
stocks are more predictable than the Brazilian index for moderately conservative investors.
Descrição
Palavras-chave
Intertemporal hedging demand Portfolio choice Predictability Strategic asset allocation