Seleção de carteiras utilizando o modelo Fama-French-Carhart

João F Caldeira, Guilherme Moura () and Andre Santos ()

Revista Brasileira de Economia - RBE, 2013, vol. 67, issue 1

Abstract: In this article the Fama-French-Carhart factor model is used to obtain short selling-constrained and unconstrained minimum variance portfolios. For that purpose, conditional covariance matrices are obtained based on a recent multivariate factor GARCH specification with a flexible modeling strategy for the common factors, for the individual assets, and for the factor loads proposed by Santos & Moura (2012). An application involving 61 stocks traded on the São Paulo stock exchange (BM\&FBovespa) shows that the proposed specification delivers less risky portfolios on an out-of-sample basis in comparison to several benchmark models, including existing factor approaches.

Date: 2013
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Working Paper: SELEÇÃO DE CARTEIRAS UTILIZANDO O MODELOFAMA-FRENCH-CARHART (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgrbe:v:67:y:2013:i:1:a:3755

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