Strategic asset allocation in Brazil

Detalhes bibliográficos
Autor(a) principal: Morais, André Filipe Barreto
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/32475
Resumo: 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.
id RCAP_529d4c5d20f987a77b2fbc5d035f578b
oai_identifier_str oai:run.unl.pt:10362/32475
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Strategic asset allocation in BrazilIntertemporal hedging demandPortfolio choicePredictabilityStrategic asset allocationDomínio/Área Científica::Ciências Sociais::Economia e GestãoWe 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.Matos, João ManuelBonomo, MarcoRUNMorais, André Filipe Barreto2018-03-14T12:39:18Z2018-01-202018-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/32475TID:201861348enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:18:04Zoai:run.unl.pt:10362/32475Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:29:52.901843Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Strategic asset allocation in Brazil
title Strategic asset allocation in Brazil
spellingShingle Strategic asset allocation in Brazil
Morais, André Filipe Barreto
Intertemporal hedging demand
Portfolio choice
Predictability
Strategic asset allocation
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Strategic asset allocation in Brazil
title_full Strategic asset allocation in Brazil
title_fullStr Strategic asset allocation in Brazil
title_full_unstemmed Strategic asset allocation in Brazil
title_sort Strategic asset allocation in Brazil
author Morais, André Filipe Barreto
author_facet Morais, André Filipe Barreto
author_role author
dc.contributor.none.fl_str_mv Matos, João Manuel
Bonomo, Marco
RUN
dc.contributor.author.fl_str_mv Morais, André Filipe Barreto
dc.subject.por.fl_str_mv Intertemporal hedging demand
Portfolio choice
Predictability
Strategic asset allocation
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Intertemporal hedging demand
Portfolio choice
Predictability
Strategic asset allocation
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description 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.
publishDate 2018
dc.date.none.fl_str_mv 2018-03-14T12:39:18Z
2018-01-20
2018-01-20T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/32475
TID:201861348
url http://hdl.handle.net/10362/32475
identifier_str_mv TID:201861348
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799137923886481408

Registros relacionados