文章基本信息

标题：Seleção de carteiras utilizando o modelo Fama-French-Carhart
本地全文：下载
作者：João F Caldeira ; Guilherme Valle Moura ; André Alves Portela Santos 等
期刊名称：Revista Brasileira de Economia
印刷版ISSN：0034-7140
出版年度：2013
卷号：67
期号：1
页码：45-65
语种：Portuguese
出版社：Escola de Pós-Graduação em Economia da FGV
摘要：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.
其他摘要：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.
关键词：correlação condicional dinâmica (DCC); previsão; Filtro de Kalman; CAPM com aprendizagem; otimização de carteiras; avaliação de performance