Uma meta-heurística para uma classe de problemas de otimização de carteiras de investimentos

• Autor(a) principal: Silva, Yuri Laio Teixeira Veras
• Data de Publicação: 2017
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da UFPB
• Texto Completo: https://repositorio.ufpb.br/jspui/handle/tede/9936
• topic: Problema de Seleção de Carteiras de Investimentos; Otimização; Particle Swarm Optimization; Média-variância; Portfolio Selection Problem; Multiobjective Optimization; Particle Swarm Optimizaiton; Mean-variance; ENGENHARIAS::ENGENHARIA DE PRODUCAO

The problem in investment portfolio selection consists in the allocation of resources to a finite number of assets, aiming, in its classic approach, to overcome a trade-off between the risk and expected return of the portfolio. This problem is one of the most important topics targeted at today’s financial and economic issues. Since the pioneering works of Markowitz, the issue is treated as an optimisation problem with the two aforementioned objectives. However, in recent years, various restrictions and additional risk measurements were identified in the literature, such as, for example, cardinality restrictions, minimum transaction lot and asset pre-selection. This practice aims to bring the issue closer to the reality encountered in financial markets. In that regard, this paper proposes a metaheuristic called Particle Swarm for the optimisation of several PSPs, in such a way that allows the resolution of the problem considering a set of restrictions chosen by the investor.