Dynamic strategies to optimize asset allocation: empirical evidence in the Brazilian market
AbstractShort-term return bear influence on common investors and fund managers. However, the correct forecast of short-term market movements is not a trivial task. The purpose of this essay is to verify, according to Herold et al. (2007), if the dynamic allocation amongst main Brazilian asset classes can generate long-term gains and limit losses in shorter periods. The test results involving Ibovespa as the only risk asset confirmed this purpose. Tests involving fixed-income assets, variable-income assets and inflation-linked assets proved that the return is limited by this strategy. Static allocation and protection strategies were concurrently tested for short-term situations.
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Bibliographic InfoArticle provided by Fucape Business School in its journal Brazilian Business Review.
Volume (Year): 9 (2012)
Issue (Month): 2 (April)
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Postal: Fucape Business School Brazilian Business Review Av. Fernando Ferrari, 1358, Boa Vista CEP 29075-505 Vitória-ES
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Total Return; dynamic allocation; asset class; risk management.;
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