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- Title
Técnicas Quantitativas de Otimização de Carteiras Aplicadas ao Mercado de Ações Brasileiro.
- Authors
Santos, André Alves Portela; Tessari, Cristina
- Abstract
In this paper we assess the out-of-sample performance of two alternative quantitative portfolio optimization techniques - mean-variance and minimum variance optimization - and compare their performance with respect to a naive 1/N (or equally-weighted) portfolio and also to the market portfolio given by the Ibovespa. We focus on short selling-constrained portfolios and consider alternative estimators for the covariance matrices: sample covariance matrix, RiskMetrics, and three covariance estimators proposed by Ledoit & Wolf (2003), Ledoit & Wolf (2004) and Ledoit & Wolf (2004a). Taking into account alternative portfolio re-balancing frequencies, we compute out-of-sample performance statistics which indicate that the quantitative approaches delivered improved results in terms of lower portfolio volatility and better risk-adjusted returns. Moreover, the use of more sophisticated estimators for the covariance matrix generated optimal portfolios with lower turnover over time.
- Subjects
SHORT selling (Securities); HEDGING (Finance); MARKET volatility; MARGIN accounts; MATRICES (Mathematics)
- Publication
Brazilian Review of Finance / Revista Brasileira de Finanças, 2012, Vol 10, Issue 3, p369
- ISSN
1679-0731
- Publication type
Article
- DOI
10.12660/rbfin.v10n3.2012.3865