Výsledky vyhledávání - "Marcelo Lewin"

Akademický článek

Portfolio Management under Multiple Regimes: Strategies that Outperform the Market

Autor: Marcelo Lewin, Carlos Heitor Campani

Publikováno v: RAC: Revista de Administração Contemporânea, Vol 24, Iss 4, Pp 300-316 (2020)

Context: regime switching models in asset allocation under the stochastic differential utility function were not included in the literature until Campani, Garcia and Lewin (2020) model. This function is at the knowledge edge because, more realistical

Externí odkaz: https://doaj.org/article/a5c74448f42f4def8e631df00a5e99c3

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Constrained portfolio strategies in a regime-switching economy

Autor: Carlos Heitor Campani, Marcelo Lewin

Publikováno v: Financial Markets and Portfolio Management. 37:27-59

We implement an allocation strategy through a regime-switching model using recursive utility preferences in an out-of-sample exercise accounting for transaction costs. We study portfolios turnover and leverage, proposing two procedures to constrain t

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9138dd1a15dcb2982e4970948fc38852
https://doi.org/10.1007/s11408-022-00414-x

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Gestão de Carteiras sob Múltiplos Regimes: Estratégias que Performam Acima do Mercado

Autor: Marcelo Lewin, Carlos Heitor Campani

Publikováno v: Revista de Administração Contemporânea, Volume: 24, Issue: 4, Pages: 300-316, Published: 17 APR 2020
Revista de Administração Contemporânea v.24 n.4 2020
RAC. Revista de Administração Contemporânea
Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
instacron:ANPAD

RESUMO Contexto: modelos de múltiplos regimes econômicos para alocação de ativos sob a função utilidade estocástica diferencial não constavam na literatura até o modelo de Campani, Garcia e Lewin (2020). Esta função está na fronteira do c

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::053e9662dde36f9eba0cfb2c91edb4b2
http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65552020000400300&lng=en&tlng=en

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Optimal portfolio strategies in the presence of regimes in asset returns

Autor: Marcelo Lewin, Carlos Heitor Campani, René Garcia

Publikováno v: Journal of Banking & Finance. 123:106030

This paper analyzes optimal portfolio and consumption strategies in a regime-switching economy with unobservable states and predictability of risky asset returns. We develop approximate analytical solutions to the unconstrained dynamic problem. The a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::3945145263df2f5532cefa9a61bc4b5d
https://doi.org/10.1016/j.jbankfin.2020.106030

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Elektronická kniha

Crianza con ciencia

Autor: Marcelo Lewin, Irene García

Un libro riguroso, actual e imprescindible que aboga por una crianza responsable basada en la ciencia y el amor. En los últimos años han surgido diversas tendencias, muchas veces opuestas o enfrentadas, que hacen que los padres se sientan inseguros

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Gestão de carteiras sob múltiplos regimes: Performance fora da amostra

Autor: Carlos Heitor Campani, Marcelo Lewin

Publikováno v: Brazilian Review of Finance. 18:52

We propose a dynamic allocation strategy for an investor which considers three unobservable economic regimes, which we estimate using returns on five Brazilian asset classes. The strategy is based on an approximate analytical solution of a realistic

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::d2c284b89da7976d78a06920e564f623
https://doi.org/10.12660/rbfin.v18n3.2020.81210

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