Uncertainty times for portfolio selection at financial market

Detalhes bibliográficos
Autor(a) principal: Oliveira, André Barbosa
Data de Publicação: 2018
Outros Autores: Pereira, Pedro L. Valls
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/20545
Resumo: The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model with regime change. Investment strategies for portfolios are presented in the presence of uncertainty as to the high or low state of the stock market. The portfolios were applied to the main Ibovespa shares. The proposed portfolios offered better performance for the period analyzed.
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spelling Oliveira, André BarbosaPereira, Pedro L. VallsEscolas::EESP2018-03-15T14:05:53Z2018-03-15T14:05:53Z2018-03TD 473http://hdl.handle.net/10438/20545The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model with regime change. Investment strategies for portfolios are presented in the presence of uncertainty as to the high or low state of the stock market. The portfolios were applied to the main Ibovespa shares. The proposed portfolios offered better performance for the period analyzed.engEESP - Textos para Discussão; TD 473Portfolio optimizationMarkov chainMultivariate time series modelsMarkov switchingEconomiaInvestimentosAnálise de séries temporaisAlocação de ativosAnálise multivariadaUncertainty times for portfolio selection at financial marketinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTTD 473_CEQEF 44.pdf.txtTD 473_CEQEF 44.pdf.txtExtracted texttext/plain36468https://repositorio.fgv.br/bitstreams/ba2bf955-0b15-4398-8bed-68ef36b8074a/downloadb4f11ac0a03610b455ed4373c6f93a74MD55ORIGINALTD 473_CEQEF 44.pdfTD 473_CEQEF 44.pdfTD 473 - André Barbosa Oliveira - Pedro L. 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dc.title.eng.fl_str_mv Uncertainty times for portfolio selection at financial market
title Uncertainty times for portfolio selection at financial market
spellingShingle Uncertainty times for portfolio selection at financial market
Oliveira, André Barbosa
Portfolio optimization
Markov chain
Multivariate time series models
Markov switching
Economia
Investimentos
Análise de séries temporais
Alocação de ativos
Análise multivariada
title_short Uncertainty times for portfolio selection at financial market
title_full Uncertainty times for portfolio selection at financial market
title_fullStr Uncertainty times for portfolio selection at financial market
title_full_unstemmed Uncertainty times for portfolio selection at financial market
title_sort Uncertainty times for portfolio selection at financial market
author Oliveira, André Barbosa
author_facet Oliveira, André Barbosa
Pereira, Pedro L. Valls
author_role author
author2 Pereira, Pedro L. Valls
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.author.fl_str_mv Oliveira, André Barbosa
Pereira, Pedro L. Valls
dc.subject.eng.fl_str_mv Portfolio optimization
Markov chain
Multivariate time series models
Markov switching
topic Portfolio optimization
Markov chain
Multivariate time series models
Markov switching
Economia
Investimentos
Análise de séries temporais
Alocação de ativos
Análise multivariada
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Investimentos
Análise de séries temporais
Alocação de ativos
Análise multivariada
description The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model with regime change. Investment strategies for portfolios are presented in the presence of uncertainty as to the high or low state of the stock market. The portfolios were applied to the main Ibovespa shares. The proposed portfolios offered better performance for the period analyzed.
publishDate 2018
dc.date.accessioned.fl_str_mv 2018-03-15T14:05:53Z
dc.date.available.fl_str_mv 2018-03-15T14:05:53Z
dc.date.issued.fl_str_mv 2018-03
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.sici.none.fl_str_mv TD 473
identifier_str_mv TD 473
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dc.language.iso.fl_str_mv eng
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