Frequency-domain information for active multi-asset portfolio management

• Autor(a) principal: Maia, Miguel Ângelo Moreira
• Data de Publicação: 2022
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
• Texto Completo: http://hdl.handle.net/10400.14/38983
• topic: Equity risk premium; Bond risk premium; Commodity returns; Predictability; Multiresolution analysis; Multi-asset portfolios; Active portfolio management; Previsibilidade; Análise multi-resolução; Carteiras de vários ativos; Gestão ativa de carteiras

In this thesis we evaluate the advantages of using frequency-domain information in the context of an actively managed portfolio exposed to equity, bonds, and commodities. Studying frequency-domain information in active asset management is very incipient in the literature: there is only one paper for an investment set of equity and bonds (Faria and Verona, 2020). Based on this finding, and applying the same methodology, we extend the work to commodity markets and study if there are eventual economic gains from the use of frequency-domain information in the context of an actively managed portfolio exposed to equity, bonds, and commodities. We conclude that using frequency-domain information in active multi-asset portfolio management is beneficial and that commodities have a high diversification power.