Portfolio E-V efficient: Bibliometrics of developments considering simulation or risk metrics with increased objective space

Detalhes bibliográficos
Autor(a) principal: Mendes, Marcos Huber
Data de Publicação: 2021
Outros Autores: Souza, Reinaldo Castro, Sanfins, Marco Aurélio, Silva, Tuany Esthefany Barcellos de Carvalho, Martins, Lucas Mattos
Tipo de documento: Artigo
Idioma: por
Título da fonte: Research, Society and Development
Texto Completo: https://rsdjournal.org/index.php/rsd/article/view/13802
Resumo: Scientific production and the need for indicators that quantify it have strengthened and grown in the last decades, as well as tools that help in their measurement and the search for techniques to analyze in a temporal way, among others, the volume of publications, authors, citations and citations of references. Bibliometry is an important quantitative and statistical technique for measuring production indexes and scientific knowledge using software, keywords of interest and titles to carry out bibliometrics surveys on platforms for repositories of scientific articles, theses and books. The work aims to analyze the veracity of two assumptions about the evolution, to date, of Markowitz's theory of portfolio model E-V efficient. The first is whether there are evolutions of the model, with simulation by the Monte Carlo method, that use simulation as an end to obtain the empirical probability distribution of all the optimal results inherent to the simulation and not, by the usual method of data concentration, being just a means to obtain better results and models, to compare models or to analyze the results of the models or even to project the results of the models in holdout windows. The second is whether there are evolutions of the model using risk metrics with increased objective space, allowing the estimation of a greater number of parameters. From software for bibliometric analysis it was possible to reach the conclusion that in the analyzed theory, and in its evolution to date, the two assumptions are not true.
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spelling Portfolio E-V efficient: Bibliometrics of developments considering simulation or risk metrics with increased objective spacePortafolio E-V eficiente: Bibliometría de desarrollos considerando simulación o métricas de riesgo con espacio objetivo aumentadoPortfólio E-V eficiente: Bibliometria das evoluções considerando simulação ou métricas do risco com espaço objetivo aumentadoPortfólio E-V EficienteOtimizaçãoSimulaçãoMonte CarloDistribuição de Probabilidade EmpíricaMétrica do RiscoEspaço Objetivo AumentadoBibliometria.Portfolio E-V eficienteOptimizaciónSimulaciónMonte CarloDistribución de probabilidad empíricaMétrica de riesgoEspacio objetivo aumentadoBibliometría.Portfolio E-V efficientOptimizationSimulationMonte CarloEmpirical probability distributionRisk metricIncreased objective spaceBibliometry.Scientific production and the need for indicators that quantify it have strengthened and grown in the last decades, as well as tools that help in their measurement and the search for techniques to analyze in a temporal way, among others, the volume of publications, authors, citations and citations of references. Bibliometry is an important quantitative and statistical technique for measuring production indexes and scientific knowledge using software, keywords of interest and titles to carry out bibliometrics surveys on platforms for repositories of scientific articles, theses and books. The work aims to analyze the veracity of two assumptions about the evolution, to date, of Markowitz's theory of portfolio model E-V efficient. The first is whether there are evolutions of the model, with simulation by the Monte Carlo method, that use simulation as an end to obtain the empirical probability distribution of all the optimal results inherent to the simulation and not, by the usual method of data concentration, being just a means to obtain better results and models, to compare models or to analyze the results of the models or even to project the results of the models in holdout windows. The second is whether there are evolutions of the model using risk metrics with increased objective space, allowing the estimation of a greater number of parameters. From software for bibliometric analysis it was possible to reach the conclusion that in the analyzed theory, and in its evolution to date, the two assumptions are not true.La producción científica y la necesidad de indicadores que la cuantifiquen se han fortalecido y crecido en las últimas décadas, así como herramientas que ayuden en su medición y la búsqueda de técnicas para analizar de manera temporal, entre otros, el volumen de publicaciones, autores, citas y citas de referencias. La bibliometría es una técnica cuantitativa y estadística importante para medir índices de producción y conocimiento científico utilizando software, palabras clave de interés y títulos para realizar encuestas bibliométricas en plataformas para repositorios de artículos científicos, tesis y libros. El trabajo tiene como objetivo analizar la veracidad de dos supuestos sobre la evolución, hasta la fecha, de lo modelo de Markowitz de la teoría de portfolio E-V eficiente. La primera es que existen evoluciones del modelo, con simulación por el método de Monte Carlo, que utilizan la simulación como fin para obtener la distribución de probabilidad empírica de todos los resultados óptimos inherentes a la simulación y no, por el método habitual de concentración de datos, siendo solo un medio para obtener mejores resultados y modelos, comparar modelos o analizar los resultados de los modelos o incluso proyectar los resultados de los modelos en ventanas de holdout. La segunda es que existen evoluciones del modelo utilizando métricas de riesgo con espacio objetivo aumentado, permitiendo la estimación de un mayor número de parámetros. A partir de un software de análisis bibliométrico, pudimos llegar a la conclusión de que en la teoría analizada, y en su evolución hasta la fecha, los dos supuestos no son ciertos.A produção científica e a necessidade de indicadores que a quantifique se fortaleceu e cresceu nas últimas décadas, como também a de ferramentas que auxiliem na sua mensuração e a busca por técnicas para analisar de forma temporal, entre outras, o volume de publicações, autores, citações e citações das referências. A bibliometria é uma importante técnica quantitativa e estatística para medir índices de produção e conhecimento científico utilizando softwares, palavras chaves de interesse e títulos para realizar levantamentos bibliométricos em plataformas de repositórios de artigos científicos, teses e livros. O trabalho objetiva analisar a veracidade de duas suposições sobre as evoluções, até a presente data, do modelo da teoria de portfólio E-V eficiente de Markowitz. A primeira se existe evoluções do modelo, com simulação pelo método de Monte Carlo, que utilizem a simulação como um fim para obter a distribuição de probabilidade empírica de todos os resultados ótimos inerentes à simulação e não, pelo usual método de concentração de dados, sendo apenas um meio para se obter melhores resultados e modelos, para comparação entre modelos ou para análise de resultados dos modelos ou ainda para projeção dos resultados dos modelos em janelas de holdout. A segunda se existe evoluções do modelo utilizando métricas do risco com espaço objetivo aumentado, possibilitando a estimação de um maior número de parâmetros. A partir de softwares para análise bibliométrica se conseguiu chegar à conclusão de que na teoria analisada, e nas suas evoluções até a presente data, as duas suposições não são verdadeiras.Research, Society and Development2021-04-24info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://rsdjournal.org/index.php/rsd/article/view/1380210.33448/rsd-v10i4.13802Research, Society and Development; Vol. 10 No. 4; e57310413802Research, Society and Development; Vol. 10 Núm. 4; e57310413802Research, Society and Development; v. 10 n. 4; e573104138022525-3409reponame:Research, Society and Developmentinstname:Universidade Federal de Itajubá (UNIFEI)instacron:UNIFEIporhttps://rsdjournal.org/index.php/rsd/article/view/13802/13051Copyright (c) 2021 Marcos Huber Mendes; Reinaldo Castro Souza; Marco Aurélio Sanfins; Tuany Esthefany Barcellos de Carvalho Silva; Lucas Mattos Martinshttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessMendes, Marcos Huber Souza, Reinaldo Castro Sanfins, Marco Aurélio Silva, Tuany Esthefany Barcellos de Carvalho Martins, Lucas Mattos2021-04-25T11:21:26Zoai:ojs.pkp.sfu.ca:article/13802Revistahttps://rsdjournal.org/index.php/rsd/indexPUBhttps://rsdjournal.org/index.php/rsd/oairsd.articles@gmail.com2525-34092525-3409opendoar:2024-01-17T09:35:03.842953Research, Society and Development - Universidade Federal de Itajubá (UNIFEI)false
dc.title.none.fl_str_mv Portfolio E-V efficient: Bibliometrics of developments considering simulation or risk metrics with increased objective space
Portafolio E-V eficiente: Bibliometría de desarrollos considerando simulación o métricas de riesgo con espacio objetivo aumentado
Portfólio E-V eficiente: Bibliometria das evoluções considerando simulação ou métricas do risco com espaço objetivo aumentado
title Portfolio E-V efficient: Bibliometrics of developments considering simulation or risk metrics with increased objective space
spellingShingle Portfolio E-V efficient: Bibliometrics of developments considering simulation or risk metrics with increased objective space
Mendes, Marcos Huber
Portfólio E-V Eficiente
Otimização
Simulação
Monte Carlo
Distribuição de Probabilidade Empírica
Métrica do Risco
Espaço Objetivo Aumentado
Bibliometria.
Portfolio E-V eficiente
Optimización
Simulación
Monte Carlo
Distribución de probabilidad empírica
Métrica de riesgo
Espacio objetivo aumentado
Bibliometría.
Portfolio E-V efficient
Optimization
Simulation
Monte Carlo
Empirical probability distribution
Risk metric
Increased objective space
Bibliometry.
title_short Portfolio E-V efficient: Bibliometrics of developments considering simulation or risk metrics with increased objective space
title_full Portfolio E-V efficient: Bibliometrics of developments considering simulation or risk metrics with increased objective space
title_fullStr Portfolio E-V efficient: Bibliometrics of developments considering simulation or risk metrics with increased objective space
title_full_unstemmed Portfolio E-V efficient: Bibliometrics of developments considering simulation or risk metrics with increased objective space
title_sort Portfolio E-V efficient: Bibliometrics of developments considering simulation or risk metrics with increased objective space
author Mendes, Marcos Huber
author_facet Mendes, Marcos Huber
Souza, Reinaldo Castro
Sanfins, Marco Aurélio
Silva, Tuany Esthefany Barcellos de Carvalho
Martins, Lucas Mattos
author_role author
author2 Souza, Reinaldo Castro
Sanfins, Marco Aurélio
Silva, Tuany Esthefany Barcellos de Carvalho
Martins, Lucas Mattos
author2_role author
author
author
author
dc.contributor.author.fl_str_mv Mendes, Marcos Huber
Souza, Reinaldo Castro
Sanfins, Marco Aurélio
Silva, Tuany Esthefany Barcellos de Carvalho
Martins, Lucas Mattos
dc.subject.por.fl_str_mv Portfólio E-V Eficiente
Otimização
Simulação
Monte Carlo
Distribuição de Probabilidade Empírica
Métrica do Risco
Espaço Objetivo Aumentado
Bibliometria.
Portfolio E-V eficiente
Optimización
Simulación
Monte Carlo
Distribución de probabilidad empírica
Métrica de riesgo
Espacio objetivo aumentado
Bibliometría.
Portfolio E-V efficient
Optimization
Simulation
Monte Carlo
Empirical probability distribution
Risk metric
Increased objective space
Bibliometry.
topic Portfólio E-V Eficiente
Otimização
Simulação
Monte Carlo
Distribuição de Probabilidade Empírica
Métrica do Risco
Espaço Objetivo Aumentado
Bibliometria.
Portfolio E-V eficiente
Optimización
Simulación
Monte Carlo
Distribución de probabilidad empírica
Métrica de riesgo
Espacio objetivo aumentado
Bibliometría.
Portfolio E-V efficient
Optimization
Simulation
Monte Carlo
Empirical probability distribution
Risk metric
Increased objective space
Bibliometry.
description Scientific production and the need for indicators that quantify it have strengthened and grown in the last decades, as well as tools that help in their measurement and the search for techniques to analyze in a temporal way, among others, the volume of publications, authors, citations and citations of references. Bibliometry is an important quantitative and statistical technique for measuring production indexes and scientific knowledge using software, keywords of interest and titles to carry out bibliometrics surveys on platforms for repositories of scientific articles, theses and books. The work aims to analyze the veracity of two assumptions about the evolution, to date, of Markowitz's theory of portfolio model E-V efficient. The first is whether there are evolutions of the model, with simulation by the Monte Carlo method, that use simulation as an end to obtain the empirical probability distribution of all the optimal results inherent to the simulation and not, by the usual method of data concentration, being just a means to obtain better results and models, to compare models or to analyze the results of the models or even to project the results of the models in holdout windows. The second is whether there are evolutions of the model using risk metrics with increased objective space, allowing the estimation of a greater number of parameters. From software for bibliometric analysis it was possible to reach the conclusion that in the analyzed theory, and in its evolution to date, the two assumptions are not true.
publishDate 2021
dc.date.none.fl_str_mv 2021-04-24
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://rsdjournal.org/index.php/rsd/article/view/13802
10.33448/rsd-v10i4.13802
url https://rsdjournal.org/index.php/rsd/article/view/13802
identifier_str_mv 10.33448/rsd-v10i4.13802
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://rsdjournal.org/index.php/rsd/article/view/13802/13051
dc.rights.driver.fl_str_mv https://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Research, Society and Development
publisher.none.fl_str_mv Research, Society and Development
dc.source.none.fl_str_mv Research, Society and Development; Vol. 10 No. 4; e57310413802
Research, Society and Development; Vol. 10 Núm. 4; e57310413802
Research, Society and Development; v. 10 n. 4; e57310413802
2525-3409
reponame:Research, Society and Development
instname:Universidade Federal de Itajubá (UNIFEI)
instacron:UNIFEI
instname_str Universidade Federal de Itajubá (UNIFEI)
instacron_str UNIFEI
institution UNIFEI
reponame_str Research, Society and Development
collection Research, Society and Development
repository.name.fl_str_mv Research, Society and Development - Universidade Federal de Itajubá (UNIFEI)
repository.mail.fl_str_mv rsd.articles@gmail.com
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