Introducao a otimizacao de Portfolio
Orizon P. Ferreira, Guilherme. A. Franca, Max V. Lemes
TL;DR
This paper introduces Modern Portfolio Theory using fundamental mathematical concepts, demonstrating simple strategies to minimize risk in two-asset portfolios that outperform the CDI benchmark.
Contribution
It presents an accessible introduction to Modern Portfolio Theory and applies it to develop simple risk-minimizing investment strategies.
Findings
Strategies outperform CDI yield
Risk minimization achieved with two assets
Uses basic math concepts for portfolio optimization
Abstract
In this work, we introduce Modern Portfolio Theory using basic concepts from linear algebra, differential calculus, statistics, and optimization. This theory allows us to measure the return and risk of an investment portfolio, serving as a basis for decision-making in the financial market. As an application, we will present four very simple investment strategies that aim to minimize the risk of investing in only two assets, outperforming the CDI (Interbank Deposit Certificate) yield.
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Taxonomy
TopicsBusiness and Management Studies · Finance, Markets, and Regulation