Strategies of portfolio investment with estimates of bull and bear markets

Main Article Content

Pedro L. Valls Pereira
André Barbosa Oliveira


The financial market has non-linear patterns, with different return behavior in bull versus bear markets. This article uses multivariate model estimates to study portfolios in changing conditions, and develops investment strategies for portfolios in light of uncertainty about the bear or bull status of the stock market. Portfolios were optimized for the main stocks listed on the Brazilian market index Ibovespa. The portfolios proposed with estimates of changing market status outperformed others over the analyzed period, with rebalancing adjustments made either weekly or monthly.

Article Details

Long Paper
Author Biographies

Pedro L. Valls Pereira, Sao Paulo School of Economics

Professor of Financial Econometrics

André Barbosa Oliveira, Universidade Federal Fluminense

Faculty of Economics