HYPOTHETICAL PORTFOLIO FORMULARIZATION OF FINANCIAL ASSETS USING THE TECHNIQUE MULTIVARIATE ANALYSIS OF CLUSTERS
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista Universo Contábil |
Texto Completo: | https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/1526 |
Resumo: | The objective this paper is to identify groups of stocks with similar characteristics (hypothetical portfolio), having as a goal the allocation of capital available for investment so as to understand the potential risks and possible returns that a potential investor could have. Therefore, cluster analysis technique was used on stocks traded at the São Paulo Stock Exchange. The period analyzed was from 1998 to 2002 for the construction of the clusters, and from 2002 to 2006 for the evaluation of the behavior of the portfolios originated from the cluster analysis. Five hypothetical portfolios were identified, being three of them considered suitable for a potential investor, as follows: Portfolio 1 – low risk, low return; Portfolio 3 – low risk, high return; and Portfolio 5: high risk, high return. The behavior evaluation of the suggested hypothetical portfolios showed the expected performance within the period from 2002 through 2006, proving the adequation of the cluster analysis technique. Nevertheless, despite the observed results, it is emphasized that a conjunctural analysis associated with mathematical and (or) econometric studies is essential to the construction of good investment portfolios. |
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HYPOTHETICAL PORTFOLIO FORMULARIZATION OF FINANCIAL ASSETS USING THE TECHNIQUE MULTIVARIATE ANALYSIS OF CLUSTERSFORMULAÇÃO DE CARTEIRAS HIPOTÉTICAS DE ATIVOS FINANCEIROS USANDO A TÉCNICA MULTIVARIADA DE ANÁLISE DE AGRUPAMENTOPortfolios. Investments. Clusters. Finances.Carteiras. Investimentos. Agrupamento. Finanças.The objective this paper is to identify groups of stocks with similar characteristics (hypothetical portfolio), having as a goal the allocation of capital available for investment so as to understand the potential risks and possible returns that a potential investor could have. Therefore, cluster analysis technique was used on stocks traded at the São Paulo Stock Exchange. The period analyzed was from 1998 to 2002 for the construction of the clusters, and from 2002 to 2006 for the evaluation of the behavior of the portfolios originated from the cluster analysis. Five hypothetical portfolios were identified, being three of them considered suitable for a potential investor, as follows: Portfolio 1 – low risk, low return; Portfolio 3 – low risk, high return; and Portfolio 5: high risk, high return. The behavior evaluation of the suggested hypothetical portfolios showed the expected performance within the period from 2002 through 2006, proving the adequation of the cluster analysis technique. Nevertheless, despite the observed results, it is emphasized that a conjunctural analysis associated with mathematical and (or) econometric studies is essential to the construction of good investment portfolios.Este estudo tem por objetivo identificar grupos de ações com características similares (carteiras hipotéticas), visando à alocação de capital disponível para investimento de forma a conhecer o risco potencial e o retorno possível para um potencial investidor. Para tanto, utiliza-se a técnica de análise de agrupamentos (cluster analysis), a partir das ações negociadas na Bolsa de Valores de São Paulo. O período analisado refere-se ao quadriênio de 1998 a 2002, para a construção dos clusters, e o período compreendido entre 2002 e 2006 foi usado para avaliar o desempenho das carteiras formadas com base nessa análise de agrupamento. Os resultados auferidos identificaram cinco carteiras hipotéticas, sendo três delas consideradas ideais para um potencial investimento, a saber: carteira 1 - com baixo risco e baixo retorno; carteira 3 - com baixo risco e alto retorno e carteira 5 - com alto risco e alto retorno. A avaliação do comportamento das carteiras hipotéticas sugeridas apresentou desempenho dentro do esperado no quadriênio 2002 a 2006, comprovando a adequação da técnica de análise de clusters. Contudo, apesar dos resultados observados, ressalta-se que uma análise conjuntural aliada aos estudos matemáticos e (ou) econométricos é indispensável à construção de boas carteiras de investimento.Universidade Regional de Blumenau2009-10-07info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/152610.4270/ruc.20095Revista Universo Contábil; v. 5 n. 3 (2009); 43-591809-33371809-3337reponame:Revista Universo Contábilinstname:Universidade Regional de Blumenau (FURB)instacron:FURBporhttps://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/1526/1023Copyright (c) 2014 Revista Universo Contábilinfo:eu-repo/semantics/openAccessSilva, Wesley Vieira daLins, Aline GonçalvesGomes, LilianeMarques, Sandro2009-10-07T17:34:24Zoai:ojs.bu.furb.br:article/1526Revistahttps://proxy.furb.br/ojs/index.php/universocontabil/PUBhttps://proxy.furb.br/ojs/index.php/universocontabil/oai||universocontabil@furb.br1809-33371809-3337opendoar:2009-10-07T17:34:24Revista Universo Contábil - Universidade Regional de Blumenau (FURB)false |
dc.title.none.fl_str_mv |
HYPOTHETICAL PORTFOLIO FORMULARIZATION OF FINANCIAL ASSETS USING THE TECHNIQUE MULTIVARIATE ANALYSIS OF CLUSTERS FORMULAÇÃO DE CARTEIRAS HIPOTÉTICAS DE ATIVOS FINANCEIROS USANDO A TÉCNICA MULTIVARIADA DE ANÁLISE DE AGRUPAMENTO |
title |
HYPOTHETICAL PORTFOLIO FORMULARIZATION OF FINANCIAL ASSETS USING THE TECHNIQUE MULTIVARIATE ANALYSIS OF CLUSTERS |
spellingShingle |
HYPOTHETICAL PORTFOLIO FORMULARIZATION OF FINANCIAL ASSETS USING THE TECHNIQUE MULTIVARIATE ANALYSIS OF CLUSTERS Silva, Wesley Vieira da Portfolios. Investments. Clusters. Finances. Carteiras. Investimentos. Agrupamento. Finanças. |
title_short |
HYPOTHETICAL PORTFOLIO FORMULARIZATION OF FINANCIAL ASSETS USING THE TECHNIQUE MULTIVARIATE ANALYSIS OF CLUSTERS |
title_full |
HYPOTHETICAL PORTFOLIO FORMULARIZATION OF FINANCIAL ASSETS USING THE TECHNIQUE MULTIVARIATE ANALYSIS OF CLUSTERS |
title_fullStr |
HYPOTHETICAL PORTFOLIO FORMULARIZATION OF FINANCIAL ASSETS USING THE TECHNIQUE MULTIVARIATE ANALYSIS OF CLUSTERS |
title_full_unstemmed |
HYPOTHETICAL PORTFOLIO FORMULARIZATION OF FINANCIAL ASSETS USING THE TECHNIQUE MULTIVARIATE ANALYSIS OF CLUSTERS |
title_sort |
HYPOTHETICAL PORTFOLIO FORMULARIZATION OF FINANCIAL ASSETS USING THE TECHNIQUE MULTIVARIATE ANALYSIS OF CLUSTERS |
author |
Silva, Wesley Vieira da |
author_facet |
Silva, Wesley Vieira da Lins, Aline Gonçalves Gomes, Liliane Marques, Sandro |
author_role |
author |
author2 |
Lins, Aline Gonçalves Gomes, Liliane Marques, Sandro |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Silva, Wesley Vieira da Lins, Aline Gonçalves Gomes, Liliane Marques, Sandro |
dc.subject.por.fl_str_mv |
Portfolios. Investments. Clusters. Finances. Carteiras. Investimentos. Agrupamento. Finanças. |
topic |
Portfolios. Investments. Clusters. Finances. Carteiras. Investimentos. Agrupamento. Finanças. |
description |
The objective this paper is to identify groups of stocks with similar characteristics (hypothetical portfolio), having as a goal the allocation of capital available for investment so as to understand the potential risks and possible returns that a potential investor could have. Therefore, cluster analysis technique was used on stocks traded at the São Paulo Stock Exchange. The period analyzed was from 1998 to 2002 for the construction of the clusters, and from 2002 to 2006 for the evaluation of the behavior of the portfolios originated from the cluster analysis. Five hypothetical portfolios were identified, being three of them considered suitable for a potential investor, as follows: Portfolio 1 – low risk, low return; Portfolio 3 – low risk, high return; and Portfolio 5: high risk, high return. The behavior evaluation of the suggested hypothetical portfolios showed the expected performance within the period from 2002 through 2006, proving the adequation of the cluster analysis technique. Nevertheless, despite the observed results, it is emphasized that a conjunctural analysis associated with mathematical and (or) econometric studies is essential to the construction of good investment portfolios. |
publishDate |
2009 |
dc.date.none.fl_str_mv |
2009-10-07 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/1526 10.4270/ruc.20095 |
url |
https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/1526 |
identifier_str_mv |
10.4270/ruc.20095 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/1526/1023 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2014 Revista Universo Contábil info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2014 Revista Universo Contábil |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Regional de Blumenau |
publisher.none.fl_str_mv |
Universidade Regional de Blumenau |
dc.source.none.fl_str_mv |
Revista Universo Contábil; v. 5 n. 3 (2009); 43-59 1809-3337 1809-3337 reponame:Revista Universo Contábil instname:Universidade Regional de Blumenau (FURB) instacron:FURB |
instname_str |
Universidade Regional de Blumenau (FURB) |
instacron_str |
FURB |
institution |
FURB |
reponame_str |
Revista Universo Contábil |
collection |
Revista Universo Contábil |
repository.name.fl_str_mv |
Revista Universo Contábil - Universidade Regional de Blumenau (FURB) |
repository.mail.fl_str_mv |
||universocontabil@furb.br |
_version_ |
1798945115438317568 |