78468

Marcelo Lewin
Carlos Heitor Campani

Revista Contabilidade & Finanças

O artigo examina estratégias de investimento para carteiras baseadas em fatores formadas pela integração de um modelo de múltiplos regimes com uma função de utilidade recursiva estocástica. Com base nos trabalhos seminais de Fama e French (1993) e Carhart (1997), os autores identificam quatro fatores de risco no mercado acionário brasileiro. Posteriormente, empregando o modelo CGL proposto por Campani et al. (2021), o estudo desenvolve estratégias de investimento para diversificar os portfólios formados com esses fatores de risco. O modelo CGL fornece a estrutura para aplicar a função de utilidade recursiva estocástica para estimar as estratégias com base em regimes, a partir dos quais os autores implementam restrições dinâmicas para controlar de forma otimizada os pesos do portfólio. Em seguida, eles realizam uma análise de desempenho por meio de um exercício fora da amostra para comparar as estratégias de múltiplos regimes com benchmarks formados por estratégias passivas e ativas de estado único. Os resultados empíricos demonstram o desempenho superior das estratégias de múltiplos regimes, conforme evidenciado pelos índices de Sharpe superiores tanto na amostra completa quanto em subamostras mais curtas dentro do exercício. Os resultados também revelam que a estratégia de múltiplos regimes sem alavancagem apresenta consistentemente a menor volatilidade em cada subconjunto da amostra. Além disso, a análise dos retornos dos equivalentes de certeza confirma a significância estatística do desempenho superior das estratégias de múltiplos regimes em relação aos benchmarks. A investigação se concentrou no mercado de ações brasileiro para examinar os possíveis benefícios e a eficácia da aplicação dessa estratégia em um contexto de mercado emergente. Em última análise, as descobertas ressaltam que as estratégias baseadas em fatores formuladas por meio de um modelo de múltiplos regimes usando uma função de utilidade recursiva estocástica têm o potencial de superar os benchmarks tradicionais em termos de retornos ajustados ao risco no mercado acionário brasileiro, oferecendo insights práticos para os investidores que navegam no cenário brasileiro.

alavancagem e restrições de portfólio, alocação dinâmica de ativos, fatores de risco, modelos de múltiplos regimes, utilidade recursiva diferencial estocástica

LEWIN, M.; CAMPANI, C. H. Estratégias restritas ótimas para investimentos baseados em fatores no mercado de ações brasileiro. Revista Contabilidade & Finanças, v. 35, n. 96, p. 0-0, 2024.

Lewin, M., & Campani, C. H. (2024). Estratégias restritas ótimas para investimentos baseados em fatores no mercado de ações brasileiro. Revista Contabilidade & Finanças, 35(96), 0-0.

https://www.spell.org.br/documentos/ver/78468/estrategias-restritas-otimas-para-investimentos-baseados-em-fatores-no-mercado-de-acoes-brasileiro/i/pt-br

Artigo

Português

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