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Dynamic strategies to optimize asset allocation: empirical evidence in the Brazilian market

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Abstract

Short-term return bear influence on common investors and fund managers. However, the correct forecast of short-term market movements is not a trivial task. The purpose of this essay is to verify, according to Herold et al. (2007), if the dynamic allocation amongst main Brazilian asset classes can generate long-term gains and limit losses in shorter periods. The test results involving Ibovespa as the only risk asset confirmed this purpose. Tests involving fixed-income assets, variable-income assets and inflation-linked assets proved that the return is limited by this strategy. Static allocation and protection strategies were concurrently tested for short-term situations.

Keyword : Total Return, dynamic allocation, asset class, risk management Retorno total, alocação dinâmica, classe de ativos, gestão de risco

How to Cite
Cardoso, H. M., Barbedo, C. H. da S., & Vicente, J. V. M. (2012). Dynamic strategies to optimize asset allocation: empirical evidence in the Brazilian market. Brazilian Business Review, 9(2), 109–133. https://doi.org/10.15728/bbr.2012.9.2.6

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