Mean-variance portfolios using Bayesian vector-autoregressive forcasts

Essays on Financial Innovations: Feedback Trading, Tracking Efficiency and Innovation Index

“…Our main contributions with this study are twofold: first, it extends the literature regarding R, D & I investments and financial performance, by showing that it is possible, at least for the Brazilian market, to form an R, D & I intensive firms' portfolio that outperforms the market benchmark. And second, it corroborates with the view that even simple optimization techniques can obtain portfolios with better risk-return ratios, since market value indexes, which are common in benchmarks, are by construction inefficient in Markowitz's sense (Gohout & Specht, 2007).…”

“…Our main goal in this study was to consider another approach to forming the INVX theoretical portfolio, since both equally-weighted and value-weighted portfolios are commonly inefficient (Gohout & Specht, 2007). Focusing on it, we formed four different portfolios: We considered four methods to estimate the variance-covariance matrix:…”

Um índice de mínima variância de ações brasileiras

“…Em seu estudo, o autor corrobora que o método de shrinkage é capaz de proporcionar melhores estimativas de covariância para ativos negociados no Brasil. Gohout & Specht (2007) demonstram que carteiras formadas a partir de premissas racionais, que levam em consideração as relações entre os ativos, tendem a superar os índices usuais de mercado uma vez que estes não são necessariamente carteiras eficientes. Os autores concluem que a carteira formada de acordo com as diretrizes de Markowitz (1952) superou o índice alemão DAX no período analisado.…”