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 ...

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 aims to demonstrate the assembling of a portfolio of assets through the application of Modern Portfolio Theory proposed by Harry Markowitz. With the application of the mathematical principles proposed by Markowitz, ...

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 ...

Este trabalho apresenta uma aplicação da Teoria Moderna de Portfólio, elaborada originalmente para diversificação de carteiras de ativos financeiros, em ativos reais de Exploração e Produção de Petróleo e Gás Natural (E&P) ...

The Markowitz's objective functions, Value-at-Risk and Conditional Value-at-Risk, are largely used tools in the financial Market for portfolio optimization. This paper tries to analyze these functions having as a target ...

This paper aims applying the Modern Theory of Portfolio, incorporating in its model some existing transaction costs in the process of investment, by using as a database Construction stocks from companies listed in exchange ...