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Universidade Nova

1. Morais, André. Strategic asset allocation in Brazil.

Degree: 2018, Universidade Nova

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 for moderately conservative investors. Advisors/Committee Members: Matos, João Manuel, Bonomo, Marco.

Subjects/Keywords: Intertemporal hedging demand; Portfolio choice; Predictability; Strategic asset allocation; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Morais, A. (2018). Strategic asset allocation in Brazil. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/32475

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Morais, André. “Strategic asset allocation in Brazil.” 2018. Thesis, Universidade Nova. Accessed December 12, 2019. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/32475.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Morais, André. “Strategic asset allocation in Brazil.” 2018. Web. 12 Dec 2019.

Vancouver:

Morais A. Strategic asset allocation in Brazil. [Internet] [Thesis]. Universidade Nova; 2018. [cited 2019 Dec 12]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/32475.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Morais A. Strategic asset allocation in Brazil. [Thesis]. Universidade Nova; 2018. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/32475

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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