Navegação Economia por Assunto "Fixed-Income"
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Mean-variance optimization with Dynamic Model Averaging (DMA) : an application to fixed-income market in Brazil
(2018) [Dissertação]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) ...