The Mutual Fund Theorem is an elegant way of describing how investors with different attitudes towards risk should construct their portfolios. It is, however, often misinterpreted. This paper revisits the topic by defining ...

It is shown in this dissertation the applicability of Harry M. Markowitz´s Modern Theory, allied to Operation Research, in the diversification of actions in an investment portfolio, minimizing its total risk in a given ...

This paper has two objectives: verify whether systematic risk is different across countries by comparing risk return ratio of market portfolios and equally weighted portfolios (1/N) to verify their efficiency and the levels ...

This work has the objective to address the problem of asset allocation (portfolio analysis) under a Bayesian perspective. For this it was necessary to review all the theoretical analysis of the classical mean-variance model ...

This paper investigated the properties of equity portfolios under mean-variance framework and built on statistically robust estimates of risk and return. The motivation for this approach is that financial data contains ...

Esta dissertação trata das operações realizadas na BM&F BOVESPA chamadas comumente de 'Day Trading', ou seja, operações cuja compra (ou venda) e a liquidação são realizadas no mesmo dia. Tal questão é relevante, principalmente ...

The modern portfolio theory has been trying to determine how an investor might allocate assets among the possible investments options. Since the seminal contribution provided by Harry Markowitz's theory of portfolio ...

The study presented in this dissertation aims to select an optimal portfolio of investments. To do so, we use the literature that deals with linear programming, coupled with Markowitz Modern Portfolio Theory to model and ...

Portfolio optimization strategies are advocated as being able to allow the composition of stocks portfolios that provide returns above market benchmarks. This study aims to determine whether, in fact, portfolios based on ...