Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market
In: Revista Brasileira de Finanças, Jg. 10 (2012), Heft 3, S. 369-393
Online
academicJournal
Zugriff:
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 and Wolf (2003), Ledoit and Wolf (2004a) and Ledoit and Wolf (2004b). 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.
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Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market
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Autor/in / Beteiligte Person: | André Alves Portela Santos ; Tessari, Cristina |
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Zeitschrift: | Revista Brasileira de Finanças, Jg. 10 (2012), Heft 3, S. 369-393 |
Veröffentlichung: | Brazilian Society of Finance, 2012 |
Medientyp: | academicJournal |
ISSN: | 1679-0731 (print) ; 1984-5146 (print) |
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