Uncertainty times for portfolio selection at financial market

dc.contributorEscolas::EESP
dc.creatorOliveira, André Barbosa
dc.creatorPereira, Pedro L. Valls
dc.date.accessioned2018-03-15T14:05:53Z
dc.date.accessioned2022-11-03T20:09:38Z
dc.date.available2018-03-15T14:05:53Z
dc.date.available2022-11-03T20:09:38Z
dc.date.created2018-03-15T14:05:53Z
dc.date.issued2018-03
dc.identifierTD 473
dc.identifierhttp://hdl.handle.net/10438/20545
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5032674
dc.description.abstractThe 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.
dc.languageeng
dc.relationEESP - Textos para Discussão; TD 473
dc.rightsopenAccess
dc.subjectPortfolio optimization
dc.subjectMarkov chain
dc.subjectMultivariate time series models
dc.subjectMarkov switching
dc.titleUncertainty times for portfolio selection at financial market
dc.typeWorking Paper


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