Multi Period Asset Allocation
Mostrando 1-2 de 2 artigos, teses e dissertações.
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1. 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.
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 model
Publicado em: 2006
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2. ALOCAÇÃO DINÂMICA EM FUNDOS DE CONTRIBUIÇÃO DEFINIDA NA PRESENÇA DE RIQUEZA EXTERNA: O PROBLEMA DA LOCALIZAÇÃO DE ATIVOS / DYNAMIC ASSET ALLOCATION IN DEFINED CONTRIBUTION FUNDS IN THE PRESENCE OF EXTERNAL WEALTH: THE ASSET LOCATION PROBLEM
The question of how to allocate assets efficiently has been one of the central issues in Finance. As perceived in other markets, one of the recent trends in the Brazilian market has been the growth of Defined Contribution Funds. However, when focusing on investment decisions for individual investors, taxes must be taken into account. In this context, the ass
Publicado em: 2004