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Uncertainty times for portfolio selection at financial market

Andre Oliveira () and Pedro Valls Pereira ()

No 473, Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

Abstract: The 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.

Date: 2018-03
New Economics Papers: this item is included in nep-fmk
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