Publication
Asset allocation : powered by information correlation flow
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Faias, José | |
| dc.contributor.author | Pereira, Ricardo Emanuel Meneses Casquilho | |
| dc.date.accessioned | 2018-12-11T09:00:29Z | |
| dc.date.available | 2018-12-11T09:00:29Z | |
| dc.date.issued | 2013-11-30 | |
| dc.description.abstract | We propose a new methodology for tactical asset allocation. We allocate by maximizing a power utility function, while switching between the S&P500 and a safe haven asset, the US dollar-euro exchange rate. Also, we use information flows’ correlation as a signal to restrict the opportunity set accordingly. In an out-of-sample exercise, between 1985 and 2013, our signaling methodology is able to yield an annualized Sharpe ratio of 0.91 and an annualized Certainty Equivalent of 17.42%. We are able to the S&P500 which yields an annualized Sharpe Ratio of 0 and annualized Certainty Equivalent of 0.68%. | pt_PT |
| dc.identifier.tid | 201092735 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.14/26317 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Management | |
| dc.subject | Finance | |
| dc.subject | Correlation flow | |
| dc.title | Asset allocation : powered by information correlation flow | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | Mestrado em Finanças | pt_PT |