Now showing items 1-10 of 201
Teoria de Markowitz e programação linear para formação de uma carteira ótima de investimentos
(Universidade Federal de São CarlosUFSCarPrograma de Mestrado Profissional em Matemática em Rede Nacional - PROFMATCâmpus Sorocaba, 2018-11-14)
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 ...
Análise comparativa entre metodologias de otimização de portfólio
(Universidade Estadual Paulista (Unesp), 2017-12-06)
Based on empirical observations of the investment profile of a Brazilian citizen, this paper aims to identify investment opportunities in the financial market, based on stocks, government bonds backed by the federal ...
Balanceamento de carteira de fundos imobiliários com base na Teoria Moderna do Portfólio
(Universidade Estadual Paulista (Unesp), 2021-03-05)
The following work presents the application of balancing a portfolio of real estate funds and their preliminary results, using the method created by Nobel Prize winner in economic sciences Harry Max Markowitz, called Modern ...
Aplicação da moderna teoria do Portfólio em ativos não financeiros
(Universidade Estadual Paulista (Unesp), 2015-02-13)
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 ...
Otimização de portfólio utilizando como métricas de retorno medidas de posição central
(Universidade Estadual Paulista (Unesp), 2015-02804)
This paper consists in applying the Modern Theory of Portfolio (MPT) using central position measurements for modeling the return on investment fund of a renowned financial institution and compare with the Medium- CVaR ...
Análise de variáveis macro e micro econômicas para formação de carteiras de investimentos aplicando a moderna teoria do portfólio
(Universidade Estadual Paulista (Unesp), 2017-12-13)
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, ...