Data for: "Portfolio Management under Multiple Regimes: Strategies that Outperform the Market" published by RAC-Revista de Administração Contemporânea

Published: 11 Feb 2020 | Version 1 | DOI: 10.17632/jzypktvvs8.1
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Description of this data

The files refer to the paper "Portfolio Management under Multiple Regimes: Strategies that Outperform the Market", published by RAC-Revista de Administração Contemporânea.

The time series were extracted from Economatica(c) database at COPPEAD Graduate School of Business - Federal University of Rio de Janeiro in 2018. The programs were created to solve a dynamic asset allocation problem for a single and multiple regime economy.

The researcher can reproduce our results with these files. The results were promissing and our objective with this research is to open field for a broader application of regime swithing models in asset allocation worldwide.

Experiment data files

Steps to reproduce

The data file is in Excel mode. The sheet "Parameters_Start" is where the collected time series of asset prices is converted into asset classes risk premia. The sheet "Reported_Table" has the initial parameters for the optimization procedure, and "Parameters" is the sheet that MatLab writes the results: (i) parameters estimation, and (ii) probabilities.

The programs were created for MatLab 2018a. Program #1 estimates the parameters for the single regime model. Program #2 estimates the parameters for the multiple regime model and writes them in Data.xlsx. Program #3 creates the parameters file, while program #4 creates the regime probabilities and also writes them in Excel. Lastly, program #5 computes the weights to solve the asset allocation problem.

Latest version

  • Version 1

    2020-02-11

    Published: 2020-02-11

    DOI: 10.17632/jzypktvvs8.1

    Cite this dataset

    Lewin, Marcelo; Campani, Carlos Heitor (2020), “Data for: "Portfolio Management under Multiple Regimes: Strategies that Outperform the Market" published by RAC-Revista de Administração Contemporânea”, Mendeley Data, v1 http://dx.doi.org/10.17632/jzypktvvs8.1

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Institutions

Universidade Federal do Rio de Janeiro Instituto COPPEAD de Administracao

Categories

Finance, Regime Switching, Asset Management

Licence

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