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Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching

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  • Oliveira, André Barbosa
  • Valls Pereira, Pedro Luiz

Abstract

A alocação de portfólio é importante na gestão de riscos e realização de ganhos no mercado financeiro. A alocação de ativos é uma tomada de decisão sob incerteza baseada em métodos estatísticos. Os retornos dos ativos financeiros geralmente apresentam mudança de regime, com distribuição dos retornos diferente nos períodos de normalidade e crise. A mudança de regime no processo gerador dos retornos torna necessário reformular o problema de alocação de portfólio. Este trabalho desenvolve modelos de alocação de portfólio com mudança de regime. Como resultado do estudo comparativo de alocação de ativos os portfólios com mudança de regime permitem aumentar o espaço de risco e retorno, diminuindo o risco para cada nível de retornos da fronteira eficiente média variância, e possuem melhor relação risco e retorno dos rendimentos no tempo.

Suggested Citation

  • Oliveira, André Barbosa & Valls Pereira, Pedro Luiz, 2018. "Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.
    • Handle: RePEc:sbe:breart:v:38:y:2018:i:1:a:66264
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