Frequency-domain information for active multi-asset portfolio management

Abstract

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.

Date of Award	7 Jul 2022
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Fabio Verona (Supervisor) & Gonçalo Faria (Co-Supervisor)