Portfolio’s Optimization in Bovespa: A Beginner Class with R! And Msexcel

Posted: 23 Jul 2009

See all articles by Antonio Nunes Pereira

Antonio Nunes Pereira

University of Sao Paulo - Faculdade de Direito; Universidade Municipal de São Caetano do Sul (USCS); Fucape Business School

Date Written: July 22, 2009

Abstract

The present article was elaborated for assisting the student in accountancy and administration aas bigginers in the worksheets and free softwares for optimization problems of the personal investments in stocks. The methodological approach is didactic and quantitative to for being based on simulation and statistical models. They were selected the three most trasactioned stocks in the Bovespa as data for the quadratic model, based on Sharpe's Developments and Markowitz. After the solution with software, it is believed that the students will have larger interest and conceptual domain about the theme.

Keywords: portolio, optimization, quadratic programming

JEL Classification: M49

Suggested Citation

Pereira, Antonio Nunes, Portfolio’s Optimization in Bovespa: A Beginner Class with R! And Msexcel (July 22, 2009). Available at SSRN: https://ssrn.com/abstract=1437827 or http://dx.doi.org/10.2139/ssrn.1437827

Antonio Nunes Pereira (Contact Author)

University of Sao Paulo - Faculdade de Direito ( email )

Largo São Francisco, 95 Prédio Anexo
São Paulo, São Paulo 01005-010
Brazil

Universidade Municipal de São Caetano do Sul (USCS) ( email )

Rua Santo Antônio, 50
São Caetano do Sul, São Paulo 09521-160
Brazil
11 4239 5000 (Phone)

Fucape Business School

Fernando Ferrari Avenue, 1358
Goiabeiras
Vitória, Espirtio Santo 29075-010
Brazil
55 27 4009 4444 (Phone)

HOME PAGE: http://www.fucape.br

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
549
PlumX Metrics