Otimização multiperíodo por média-variância sem posições a descoberto em ativos de risco. / Mean-variance multiperiod optimization with no-shorting constraints in risk assets.

AUTOR(ES)

Allan Leão Dantas

DATA DE PUBLICAÇÃO

2006

RESUMO

Initially in this work are presented the basics concepts of mean and variance and how they are applied to quantify an asset or a portfolio. After this we present the optimal investment strategy of the Markowitz no-shorting constraints mean-variance portfolio selection in single period and the Markowitz optimal investment strategy without such constrain. Following this, we present a short review of the continuous-time dynamic model for the mean-variance portfolio selection with no-shorting constraints in risky assets problem. As the main objective of this work we propose a discrete time multiperiod model based on the continuous-time portfolio selection with no-shorting constraints in risky assets, that is applied to the Brazilian financial market. This result is compared with the investment strategy of the Markowitz no-shorting constraints mean-variance portfolio selection in single period applied sequentially in the multiperiod case.

ASSUNTO(S)

markowitz model modelo de markowitz sem posições a descoberto multiperíodo no-shorting constraints mean-variance multiperiod média-variância

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