A carregar...
Publicação
Parametric portfolio policies: an application for a global tactical asset allocation model
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 178.8 KB | Adobe PDF |
Orientador(es)
Resumo(s)
Despite the extensive literature on the predictability of asset class returns and its
economic significance, it is common for many asset managers to implement portfolio
models built around active management within an asset class, while generally having
passive allocations to each asset class based on the risk profile of the investor. We can exploit some of the predictability by using information on economic factors and
momentum that explain broad asset class moves through a parametric portfolio
approach introduced by Brandt, Santa-Clara and Valkanov (2009). I obtain significant
improvements over fixed allocations and Markowitz optimal portfolios, even when
applying significant restrictions.
Descrição
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Palavras-chave
Tactical Asset Allocation Portfolio