Parametric portfolio policies: an application for a global tactical asset allocation model

Detalhes bibliográficos
Autor(a) principal: Barahona, Ricardo Manuel de Sousa Machado Calvente de
Data de Publicação: 2012
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/9589
Resumo: 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
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spelling Parametric portfolio policies: an application for a global tactical asset allocation modelTacticalAssetAllocationPortfolioA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsDespite 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.NSBE - UNLSanta-Clara, PedroRUNBarahona, Ricardo Manuel de Sousa Machado Calvente de2013-05-14T09:20:31Z2012-062012-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/9589enginfo: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:RCAAP2024-03-11T03:42:47Zoai:run.unl.pt:10362/9589Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:18:55.224061Repositório 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 Parametric portfolio policies: an application for a global tactical asset allocation model
title Parametric portfolio policies: an application for a global tactical asset allocation model
spellingShingle Parametric portfolio policies: an application for a global tactical asset allocation model
Barahona, Ricardo Manuel de Sousa Machado Calvente de
Tactical
Asset
Allocation
Portfolio
title_short Parametric portfolio policies: an application for a global tactical asset allocation model
title_full Parametric portfolio policies: an application for a global tactical asset allocation model
title_fullStr Parametric portfolio policies: an application for a global tactical asset allocation model
title_full_unstemmed Parametric portfolio policies: an application for a global tactical asset allocation model
title_sort Parametric portfolio policies: an application for a global tactical asset allocation model
author Barahona, Ricardo Manuel de Sousa Machado Calvente de
author_facet Barahona, Ricardo Manuel de Sousa Machado Calvente de
author_role author
dc.contributor.none.fl_str_mv Santa-Clara, Pedro
RUN
dc.contributor.author.fl_str_mv Barahona, Ricardo Manuel de Sousa Machado Calvente de
dc.subject.por.fl_str_mv Tactical
Asset
Allocation
Portfolio
topic Tactical
Asset
Allocation
Portfolio
description 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
publishDate 2012
dc.date.none.fl_str_mv 2012-06
2012-06-01T00:00:00Z
2013-05-14T09:20:31Z
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/10362/9589
url http://hdl.handle.net/10362/9589
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.publisher.none.fl_str_mv NSBE - UNL
publisher.none.fl_str_mv NSBE - UNL
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
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repository.mail.fl_str_mv
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