Esse trabalho propõe a inserção de restrição de liquidez em um modelo de seleção de carteiras, visando aplicação no mercado brasileiro. No Brasil, a Comissão de Valores Imobiliários (CVM) expõe a importância do controle da liquidez de fundos de investimentos através de instrução publicada em 2012. A restrição proposta considera parâmetros utilizados nas normas brasileiras de controle de liquidez, como percentual do total negociado máximo, nível de liquidação e prazo para liquidação. O modelo é aplicado considerando-se diversos cenários, sendo variados parâmetros como valor da carteira formada e nível de liquidação aceitável, em diferentes intervalos de formação de carteiras. Verificam-se os níveis de liquidação das carteiras formadas e seu impacto no nível de risco das mesmas. Os resultados se mostraram consistentes, com bons níveis de percentual liquidado das carteiras formadas, próximos aos níveis de liquidação aceitáveis. Foi constatado também um aumento do nível de risco das carteiras mais restritas pela liquidez. / This work proposes the insertion of a liquidity constraint in a portfolio selection model, aiming to be applied in the Brazilian market. In Brazil, the "Comissão de Valores Imobiliários" (CVM) exposes the importance of controlling the liquidity of investment funds through the instruction published in 2012 . The constraint proposed in this work considers parameters used in the Brazilian regulatory standards of liquidity control parameters such as maximum percentage of monetary value, liquidation level and liquidation term date. The model is applied considering several scenarios, varying parameters such as the portfolio value and acceptable liquidation level, in different portfolio formation intervals. The liquidation levels of the portfolios formed and their impact on the risk of the portfolios are verified. The results were consistent, with good levels of liquidation of the portfolios formed, close to acceptable liquidation levels. There was also an increase in the risk of liquidity-restricted portfolios.

Zugl.: Wiesbaden, Real Estate Management Inst., Diss., 2007.

MV is the traditional method to treat international portfolio selection problems, which bases its theory on the assumption of Normal Distribution. However, during economy recession the portfolio return turns out to be a fat tail distribution. Therefore, in this sense, we explore Roy’s SF criterion and apply the extreme theory to the historical data. We demonstrate how such portfolios would perform during the Asian Crisis, IT Bubble Bust and the Financial Crisis separately. We also compare the SF portfolio’s performance to the MV portfolio’s performance, therefore to check, SF and MV portfolio, which will outperform during bust and boom of the economy. The Asian Crisis was marked with great currency devaluation and lower currency return on equity. The Dot.Com Bubble Busts was known for its sharp plummet in the stock market, while, the Financial Crisis was known as the large falls in the US stock market and elsewhere. They are the extreme events of the world capital markets, which in some way contribute to the non-normal distribution. Simulated results over the 1997-2010 period which include six busts and booms: the Asian Crisis, period after Asian Crisis, IT Bubble Bust, period after IT Bubble Bust, The Financial Crisis and period after The Financial Crisis, indicate that SF portfolio outperforms MV portfolio during most of the times, this result is especially obvious for Indonesian and Thailand.

In Banken wird zunehmend das Modell von Markowitz zur Portfoliooptimierung als verkaufsförderndes Instrument verwendet. Dieses Modell stellt jedoch lediglich eine theoretische Grundlage zur Portfoliobildung dar, berücksichtigt jedoch keine Transaktionskosten oder Besonderheiten von Kleinanlegern. Es wird in die Thematik der Portfoliooptimierung eingeführt und mit Hilfe praktischer Überlegungen zur Kostenstruktur eine Modellwelt zur Ermittlung des erwartenen (Nutzen des) Endvermögens entwickelt. Dabei wird das Black-Scholes- Modell verwendet um in Simulationen Handlungsempfehlungen unter Berücksichtigung besonderes Eigenschaften von Kleinanlegern herauszuarbeiten und den Einfluss von Kosten auf das Endvermögen zu analysieren. Zur Bestimmung optimaler Portfolios kommt die Martingalmethode zur Lösung eines dynamischen Optimierungsproblems zum Einsatz.

Thesis (doctoral)--Universität St. Gallen, 2000.

In this paper, I evaluate the out-of-sample performance of the portfolio optimizer relative to the naïve and market strategy on the Swedish stock market from January 1998 to December 2012. Recent studies suggest that simpler strategies, such as the naïve strategy, outperforms optimized strategies and that they should be implemented in the absence of better estimation models. Of the 12 strategies I evaluate, 11 of them significantly outperform both benchmark strategies in terms of Sharpe ratio. I find that the no-short-sales constrained minimum-variance strategy is preferred over the mean-variance strategy, and that the historical sample estimator creates better minimum-variance portfolios than the single-factor model and the three-factor model. My results suggest that there are considerable gains to optimization in terms of risk reduction and return in the context of portfolio selection.

St. Gallen, University, Diss., 2005.

Zugl.: Koblenz, Wiss. Hochsch. für Unternehmensführung, Diss., 2007.

Zugl.: Augsburg, Univ., Diss., 2007

University, Diss.--St. Gallen, 2000.