Scenari finanziari e portafogli ottimi: modelli di previsione e strategie per l'asset allocation tattica

Making a right asset allocation is often a very difficult issue for every investor, who is constantly engaged in combining different asset classes to achieve a portfolio consistent with their preferences. The need to support the decisions of asset managers has nurtured over time a vast literature, that has proposed a number of strategies and formal models of portfolio construction. This thesis aims to provide an overview of some innovative forecasting models and strategies in the field of tactical asset allocation, and then to evaluate their usability by asset managers. Firstly, we will verify the existence of any relationship between the dynamics of some macroeconomic variables and financial markets. The aim is to identify an econometric model capable of directing strategies of asset managers in the construction of their investment portfolios. The analysis takes into account the American financial market, during a period of rapid economic change and high volatility in stock prices. Secondly, we will examine the validity of the momentum and contrarian trading strategies in the Eurozone futures markets, which are well suited to the implementation of these, thanks to the absence of constraints on short selling and the low costs of the transaction. The analysis shows that both anomalies occur permanently. The abnormal returns remain even after subjection to traditional asset pricing models such as the CAPM, the Fama and French model and Carhart model. Finally, using the EGARCH-M approach, we will formulate forecasts on the volatility of stocks returns and we'll use these as input for determining some subjective views to be included in the Black and Litterman model. Our results indicate, for different value of scalar tau, that the BL portfolio excess returns exceed those of market equilibrium one, although with higher levels of risk.