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Master's Dissertation
DOI
https://doi.org/10.11606/D.92.2003.tde-17022022-113053
Document
Author
Full name
Michael Viriato Araujo
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2003
Supervisor
Committee
Yoshino, Joe Akira (President)
Costa, Oswaldo Luiz do Valle
Sales, Roberto Moura
Title in Portuguese
Otimização de carteiras com controle de perda máxima através da programação estocástica
Keywords in Portuguese
Custo de transação
Investimentos
Mercado de capitais
Otimização estocástica
Abstract in Portuguese
Os modelos de otimização de carteiras evoluíram desde o pioneiro trabalho de Markovitz (1952) de média-variância de um período a estruturas multi-período em tempo contínuo com restrições (Zhao e Ziemba (2000) e (2001)). Um dos grandes desafios a que se propõem os modelos de otimização de carteiras é incorporar ao máximo as restrições enfrentadas pelo investidor na decisão da alocação de recursos. Entretanto, a inclusão de restrições aos problemas de otimização torna sua resolução bastante difícil. Portanto, faz-se necessária a utilização de meios numéricos na busca do ótimo. O objetivo da presente dissertação é analisar e implementar no mercado de capitais brasileiro um modelo de otimização de carteiras múlti-período com controle de perda máxima e custos de transação apresentado por Zhao e Ziemba (2001), utilizando o método de otimização estocástica em multi-estágios via decomposição apresentado por Birge (1985)
Title in English
Portfolio optimization with maximum loss control through stochastic programming
Keywords in English
Capital Markets
Investments
Stochastic Optimization
Transaction Cost
Abstract in English
Asset allocation models have been developed since the pioneer paper of Markowitz (1952), from mean-variance in one period to multiperiod structures in continuous time with restrictions (Zhao e Ziemba (2000) e (2001). One of the greatest chalenges of the investment optimization models is to incorporate more and more the restrictions faced by the investors on the decision process of resource's allocation. Nevertheless, the inclusion of restrictions into the optimization problems transform their resolution very hard. Therefore, to find the optimum, the use of numeric models have become necessary. The main reason of this work is to analyse and to implement, in the brazilian capital market, a multiperiod asset allocation model with control of maximum lost and transaction costs, introduced by Zhao e Ziemba(2001), using the multi-period estochastic decomposition method presented by Birge(1985).
 
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Publishing Date
2022-02-17
 
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