Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios
In this paper we exploit the parametric portfolio optimization in the Brazilian market. Our data consists of monthly returns of 306 Brazilian stocks in the period between 2001 and 2013. We tested the model both in and out of sample and compared the results with the value and equal weighted portfolio...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2014-10-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/viewFile/24309/33958 |