Robust statistical modeling of portfolios

Resumo

Atypical points in the data may result in meaningless e±cient frontiers. This follows since portfolios constructed using classical estimates may re°ect neither the usual nor the unusual days patterns. On the other hand, portfolios constructed using robust approaches are able to capture just the dynamics of the usual days, which constitute the majority of the business days. In this paper we propose an statistical model and a robust estimation procedure to obtain an e±cient frontier which would take into account the behavior of both the usual and most of the atypical days. We show, using real data and simulations, that portfolios constructed in this way require less frequent rebalancing, and may yield higher expected returns for any risk level.

Ficha do documento

Tipo

Estudo

Ano

2002

Instituição

Escola de Pós-Graduação em Economia da FGV

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/12499

Temas

Economia

Palavras-chave

EconomiaAções (Finanças)Risco (Economia)