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...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidade de São Paulo
2024-12-01
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| Series: | Revista Contabilidade & Finanças |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1519-70772024000300509&lng=en&tlng=en |
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