Seleção de Carteiras Utilizando o Modelo Fama-French-Carhart

Abstract

In this article the Fama-French-Carhart factor model is used to obtain short selling-constrained and unconstrained minimum variance portfolios. For that purpose, conditional covariance matrices are obtained based on a recent multivariate factor GARCH specification with a flexible modeling strategy for the common factors, for the individual assets, and for the factor loads proposed by Santos e Moura (2012). An application involving 61 stocks traded on the São Paulo stock exchange (BM&FBovespa) shows that the proposed specification delivers less risky portfolios on an out-of-sample basis in comparison to several benchmark models, including existing factor approaches.