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

Published: 19-02-2020| Version 2 | DOI: 10.17632/y92sbjt6k4.2
Contributors:
Marcelo Lewin,
Carlos Heitor Campani

Description

This file is the appendix of article "Portfolio Management under Multiple Regimes: Strategies that Outperform the Market" from Lewin and Campani (2020). Here, we present in Portuguese the mathematical procedures to set up the applied model following Campani, Garcia and Lewin (2020). This information allows the researcher to reproduce the model. Our research objective is to open field for a broader application of regime swithing models in asset allocation worldwide.

Files

Steps to reproduce

The appendix is organized as follows: in section A, the researcher finds the economy setting; in section B, the investor setting; and in section C, the solution for the investor problem. Sections D and E, respectivelly, present the procedures for estimating the parameters and σ_π matrix. Lastly, section F shows the results for the accuracy tests of the model applied in Brazil.