Downside Risk Aplicado a Carteiras de Ações Brasileiras Durante Período Pandêmico da COVID-19

Authors

DOI:

https://doi.org/10.5540/tcam.2023.024.03.00557

Keywords:

Programação Quadrática, Downside Risk, Pandemia COVID-19

Abstract

O objetivo desse artigo é a formação e a otimização de carteiras de investimento e com ações negociadas na B3 e baseada na teoria de diversificação do modelo de Markowitz e na Programação Quadrática. Considerou-se a minimização do risco da carteira pelo sistema Downside Risk, modelado e implementado computacionalmente. O período de coleta de dados iniciou-se em 2020, ano em que houve uma crise econômica mundial em razão da pandemia da Sars-CoV-2 e consequentes medidas de isolamento que afetaram profundamente a economia. Foram formadas três carteiras que performaram entre Janeiro de 2021 a Março de 2022 e mostraram resultados acima do esperado em comparação à variação percentual do Ibovespa.

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Published

2023-07-20

How to Cite

Freitas, C. M., Santiago, Y. V., & Carvalho, S. M. S. (2023). Downside Risk Aplicado a Carteiras de Ações Brasileiras Durante Período Pandêmico da COVID-19. Trends in Computational and Applied Mathematics, 24(3), 557–574. https://doi.org/10.5540/tcam.2023.024.03.00557

Issue

Vol. 24 No. 3 (2023)

Section

Original Article

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