Browsing Economics by Author "Rexkziegel, Bernardo"
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Mean-variance optimization with Dynamic Model Averaging (DMA) : an application to fixed-income market in Brazil
Rexkziegel, Bernardo (2018) [Dissertation]This work uses data from the Brazilian yield curve of interbank deposits to employ the Mean-Variance framework of Markowitz (1952). Expected returns and covariances are calculated according to Koop and Korobilis (2013) ...