In this paper we present a new mean–variance customer portfolio optimization algorithm for a class of ergodic finite controllable Markov chains. In order to have a realistic result we propose an iterated two-step method ...

Portfolio selection problems have been thoroughly studied under the risk-and-return paradigm introduced by Markowitz. However, the usefulness of this approach has been hindered by some practical considerations that have ...

Este trabalho se dedica a analisar o desempenho de modelos de otimização de carteiras regularizadas, empregando ativos financeiros do mercado brasileiro. Em particular, regularizamos as carteiras através do uso de restrições ...