An analog model for global macro investing
Contribuinte(s) |
Lameira, Pedro |
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Data(s) |
25/08/2015
31/12/2016
01/01/2015
|
Resumo |
This study proposes a systematic model that is able to fit the Global Macro Investing universe. The Analog Model tests the possibility of capturing the likelihood of an optimal investment allocation based on similarity across different periods in history. Instead of observing Macroeconomic data, the model uses financial markets’ variables to classify unknown short-term regimes. This methodology is particularly relevant considering that asset classes and investment strategies react differently to specific macro environment shifts. UNL - NSBE |
Identificador |
http://hdl.handle.net/10362/15362 201477076 |
Idioma(s) |
eng |
Direitos |
embargoedAccess |
Palavras-Chave | #Global macro #Asset allocation #Trading strategy |
Tipo |
masterThesis |