Strategic asset allocation in Brazil
| dc.contributor.advisor | Matos, João Amaro De | |
| dc.contributor.author | Morais, André Filipe Barreto | |
| dc.coverage.spatial | São Paulo | pt_BR |
| dc.creator | Morais, André Filipe Barreto | |
| dc.date.accessioned | 2021-09-13T03:24:18Z | |
| dc.date.accessioned | 2019-07-30T18:15:35Z | |
| dc.date.available | 2021-09-13T03:24:18Z | |
| dc.date.available | 2018 | |
| dc.date.available | 2019-07-30T18:15:35Z | |
| dc.date.issued | 2018 | |
| dc.date.submitted | 2018 | |
| dc.description.other | 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. | pt_BR |
| dc.format.extent | 27 p. | pt_BR |
| dc.identifier.uri | https://repositorio.insper.edu.br/handle/11224/2346 | |
| dc.language.iso | Inglês | pt_BR |
| dc.rights.uri | TODOS OS DOCUMENTOS DESSA COLEÇÃO PODEM SER ACESSADOS, MANTENDO-SE OS DIREITOS DOS AUTORES PELA CITAÇÃO DA ORIGEM. | pt_BR |
| dc.subject | Alocação estratégica de ativos; previsibilidade; Demanda de cobertura intertemporal | pt_BR |
| dc.title | Strategic asset allocation in Brazil | pt_BR |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| local.type | Dissertação | pt_BR |