Document details

Strategic asset allocation in Brazil

Author(s): Morais, André

Date: 2018

Persistent ID: http://hdl.handle.net/10362/32475

Origin: Repositório Institucional da UNL

Subject(s): Intertemporal hedging demand; Portfolio choice; Predictability; Strategic asset allocation; Domínio/Área Científica::Ciências Sociais::Economia e Gestão; Domínio/Área Científica::Ciências Sociais::Economia e Gestão; 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.

Document Type Master thesis
Language English
Advisor(s) Matos, João Manuel; Bonomo, Marco
Contributor(s) Morais, André
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