Seleção ótima de ativos multi-período com restrições intermediárias utilizando o critério de média-variância. / Multi-period mean-variance portfolio selection problem with intermediate constraints.

AUTOR(ES)
DATA DE PUBLICAÇÃO

2006

RESUMO

The subject of this thesis is the study of multi-period portfolio optimization problems. We focus on a model with intermediate constraints formulated as an optimal control problem and solved by using dynamic programming techniques. Both theoretical and practical issues are addressed. Firstly we will analyze the main hypothesis of portfolio optimization models and the single period case. Then we will present the generalization for the multi-period case, where the models use only constraints for the expected value and variance at the final period. The main result proposed in this work considers the multi-period portfolio selection problem with intermediate constraints on the expected value and variance of the portfolio taken into account in the optimization problem. The main advantage of this technique is that it is possible to control the intermediate expected value or variance of the portfolio during the time horizon considered. Comparison between the presented formulations and numerical experiments of the proposed model will be exposed. The main original results of this thesis can be found in Chapter 5. In Chapter 6 we present numerical simulations with the proposed model.

ASSUNTO(S)

otimização de carteiras dynamic programming portfolio optimization multi-period asset allocation programação dinâmica alocação de ativos multi-período

ACESSO AO ARTIGO

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