Optimal constrained strategies for factor-based investing in the Brazilian stock market
ABSTRACT The paper examines investment strategies for factor-based portfolios formed by integrating a regime-switching model with a stochastic recursive utility function. Drawing from the seminal works of Fama and French (1993) and Carhart (1997), the authors identify four risk factors within the Br...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universidade de São Paulo
2024-12-01
|
| Series: | Revista Contabilidade & Finanças |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1519-70772024000300509&lng=en&tlng=en |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|