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Seleção De Carteiras Com Restrição Das Normas Das Posições: Uma Comparação Empírica Entre Diferentes Níveis De Restrição De Exposição Para Dados Da Bm&fbovespa
| Content Provider | Semantic Scholar |
|---|---|
| Author | Naibert, Paulo Ferreira Caldeira, João F. |
| Copyright Year | 2016 |
| Abstract | This paper studies the problem of minimum variance portfolio selection based on a recent methodology for portfolio optimization restricting the allocation vector proposed by Fan et al. (2012). To achieve this, we consider different conditional and inconditional covariance matrix estimators. The great contribuition of this paper is of empiric nature for the brazilian stock market. We evaluate out of sample performance indexes of the portfolios constructed for a set of 61 diferent sotcks traded in the São Paulo stock exchange (BM&FBovespa). The results show that the restrictions on the norms of the allocation vector generate substantial gains in relation to the no short-sale portfolio, raising the average return adjusted by the risk (bigger Sharpe Ratio) and lowering the portfolio turnover. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://www.anpec.org.br/encontro/2014/submissao/files_I/i8-4ddb23813d689d5ae684d5162e07302a.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
