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Type: Relatório
Title: Choosing an optimal investment strategy: the role of robust pair-copulas based portfolios
Author(s)/Inventor(s): Mendes, Beatriz Vaz de Melo
Marques, Daniel S.
Abstract: Indisponível
Abstract: This paper is concerned with the efficient allocation of a set of financial assets and its successful management. Efficient diversification of investments is achieved by inputing robust pair-copulas based estimates of the expected return and covariances in the mean-variance analysis of Markowitz. Although the whole point of diversifying a portfolio is to avoid rebalancing, very often one needs to rebalance to restore the portfolio to its original balance or target. But when and why to rebalance is a critical issue, and this paper investigates several managers’ strategies to keep the allocations optimal. Findings for an emerging market target return and minimum risk investments are highly significant and convincing. Although the best strategy depends on the investor risk profile, it is empirically shown that the proposed robust portfolios always outperform the classical versions based on the sample estimates, yielding higher gains in the long run and requiring a smaller number of updates. We found that the pair-copulas based robust minimum risk portfolio monitored by a manager which checks its composition twice a year provides the best long run investment.
Keywords: Finanças
Cópulas (Estatística matemática)
Copulas (Mathematical Statistics)
Working paper
Production unit: Instituto COPPEAD de Administração
Publisher: Universidade Federal do Rio de Janeiro
In: Relatórios COPPEAD
Issue: 410
Issue Date: 2012
Publisher country: Brasil
Language: por
Right access: Acesso Aberto
ISBN: 9788575080979
ISSN: 1518-3335
Citation: MENDES, Beatriz Vaz de Melo; MARQUES, Daniel S.. Choosing an optimal investment strategy: the role of robust pair-copulas based portfolios. Rio de Janeiro: UFRJ, 2012. 23 p. (Relatórios COPPEAD, 410).
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