Abstract
No presente artigo é estimado um portfólio dinâmico composto pelos mercados norte-americano, alemão, britânico, brasileiro, honconguês e australiano, considerando o período de setembro de 20001 a setembro de 2011. Para tanto, é obtida por meio de um modelo Copula-DCC-GARCH a matriz de covariância condicional dos retornos diários. Os resultados permitem concluir que houve mudanças relevantes na composição do portfólio, ocasionadas por modificações na volatilidade e dependência entre os mercados. Mais além, a abordagem dinâmica reduziu significativamente o risco do portfólio se comparada com a abordagem estática tradicional, especialmente em períodos de turbulência.
Highlights
Since the introduction of the mathematical theory of portfolio selection and the Capital Asset Pricing Model (CAPM), the dependence issue has played an important role in financial economics
The volatility, as wellas the dependence of international relationships.In this sense we constructed a portfolio composed by the studied markets, minimizing risk at each instant, with base on the estimated dynamic covariance matrix
The results indicated a large amount of variation in weights, associated with turbulent periods
Summary
Since the introduction of the mathematical theory of portfolio selection and the Capital Asset Pricing Model (CAPM), the dependence issue has played an important role in financial economics. Within this context, the behavior of correlations and covariances between returns is an essential part in asset pricing, portfolio selection and risk management. The traditional approach to measurerisk of financial assets is based in the historical covariance matrix The use of this unconditional static measure has as drawback the fact that it is constant. An inappropriate model for dependence can lead to suboptimal portfolios and inaccurate assessments of risk exposures It is necessary knowing the dynamic behavior of the covariance among financial assets
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