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Master's Dissertation
DOI
https://doi.org/10.11606/D.92.2004.tde-05042022-101739
Document
Author
Full name
Daniel de Moraes e Silva Granja
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2004
Supervisor
Committee
Stern, Julio Michael (President)
Francisco, Gerson
Vicente, Renato
Title in Portuguese
Modelo de inferência não linear para alocação de carteira
Keywords in Portuguese
Finanças
Investimentos
Redes neurais
Abstract in Portuguese
O objetivo desta dissertação é apresentar um modelo de inferência não linear para alocação de carteira baseado em redes neurais multicamada. A primeira parte do modelo concentra-se na predição dos retornos dos ativos. As redes neurais utilizam os preços de mercado observados para extrair informações sobre as expectativas dos participantes do mercado ou sobre a distribuição implícita dos retornos ou o mecanismo de apreçamento do mercado, tornando um poderoso modelo de predição dos retornos. Com base nos retornos esperados, a alocação das proporções de investimentos é feita por um algoritmo de otimização com controle de risco implícito. Para implementação do modelo é utilizada uma carteira contendo ações negociadas na Bolsa de Valores de São Paulo e os resultados são comparados com o tradicional modelo de média-variância elaborado por Markowitz (1952)
Title in English
Non-linear inference model for portfolio allocation
Keywords in English
Finance
Investments
Neural Networks
Abstract in English
This work proposes a non-linear inference model for optimal asset allocation based on multilayer neural networks . The first part focuses on the expected assets returns prediction model. Based on the historical market prices, the neural networks extract valuable information about the participant's expectation or the implicit returns distributions or even the market pricing mechanism, becoming a powerful prediction model. An optimization algorithm makes the investment proportional allocations with implicit risk control based on the expected returns. The model is implemented using a portfolio made by stocks traded at the São Paulo Stock Exchange and the results are compared against the tradicional mean-variance model written by Markowitz (1952)
 
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Publishing Date
2022-04-05
 
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