Online Appendix for "Portfolio Management under Multiple Regimes: Strategies that Outperform the Market" published by RAC-Revista de Administração Contemporânea

This file is the appendix of article "Portfolio Management under Multiple Regimes: Strategies that Outperform the Market" from Lewin and Campani (2020). Here, we present in Portuguese the mathematical procedures to set up the applied model following Campani, Garcia and Lewin (2020).

This information allows the researcher to reproduce the model. Our research objective is to open field for a broader application of regime swithing models in asset allocation worldwide.