2024
DOI: 10.1590/1808-057x20242051.en
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Optimal constrained strategies for factor-based investing in the Brazilian stock market

Marcelo Lewin,
Carlos Heitor Campani

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 Brazilian stock market. Subsequently, employing the CGL model proposed by Campani et al. (2021), the study develops investment strategies to diversify across portfolios formed with these risk factors. The CGL model provides th… Show more

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