Dynamic strategies to optimize asset allocation: empirical evidence in the Brazilian market | Zendy

Hedmilton Mourão Cardoso | Zendy; Cláudio Henrique da Silveira Barbedo | Zendy; José Valentim Machado Vicente | Zendy

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Dynamic strategies to optimize asset allocation: empirical evidence in the Brazilian market

Author(s) -

Hedmilton Mourão Cardoso,

Cláudio Henrique da Silveira Barbedo,

José Valentim Machado Vicente

Publication year - 2012

Publication title -

brazilian business review

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.176

H-Index - 4

ISSN - 1808-2386

DOI - 10.15728/bbr.2012.9.2.6

Subject(s) - asset allocation , term (time) , asset (computer security) , inflation (cosmology) , variable (mathematics) , economics , econometrics , task (project management) , financial economics , computer science , portfolio , mathematics , mathematical analysis , physics , computer security , management , quantum mechanics , theoretical physics

Short-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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