Aplicação de teorema de ponto fixo a um modelo de seleção de carteiras de investimento

• Autor(a) principal: Martins, Patricia Reis
• Data de Publicação: 2015
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da UERJ
• Texto Completo: http://www.bdtd.uerj.br/handle/1/7709
• topic: Portfolio selection; Skewness; Fixed point; Seleção de carteiras de investimento; Assimetria; Ponto fixo; Investimento - Avaliação; Títulos (Finanças); Risco (Economia); CNPQ::CIENCIAS EXATAS E DA TERRA::MATEMATICA::ANALISE

This work analyzes and details a complex mathematical model to select efficient investment portfolios, designed to ensure the use of a fixed-point theorem to guarantee the existence of a solution. The model, which is based on the first three moments of the return distribution of a set of assets, supposes that a specific asset has no risk, and characterizes the optimal portfolio as an utility maximization problem. The solution to this problem is obtained as a fixed point. In this study we sought to describe the building of the model, as well as to set out important concepts to understand the model. Interesting insights are presented in relation to the function used in the solution to the problem, and an appropriate direction to determine the existence of a solution is shown, as well as pointing out the suitable Fixed Point Theorem to be employed.