[pt] Diversos trabalhos publicados recentemente analisam o impacto da entrada de bancos estrangeiros no mercado bancário brasileiro. Muitos desses estudos avaliam o impacto dessa entrada no desempenho dos bancos nacionais, na oferta de crédito e em outras variáveis. Outros estudos enfatizam a oferta de crédito e o papel social dos bancos como fontes de financiamento para a iniciativa privada. Entretanto nenhum estudo amplo foi realizado com o objetivo de se identificar quais são os fatores determinantes da estratégia de alocação de ativos dos bancos com atividades de varejo no Brasil, e se esses fatores diferem entre bancos privados nacionais, bancos estrangeiros e bancos estatais. Para responder essas questões este estudo analisa dados das demonstrações financeiras de 35 bancos referentes ao período de 2000 a 2003. Os bancos da amostra foram selecionados na lista dos 50 Maiores Bancos por Ativos Totais (-) Intermediações, elaborada pelo Banco Central do Brasil, com um critério adicional de terem apresentado mais de cinco agências bancárias em qualquer ano do período analisado. Este trabalho enfatiza as características dos bancos como fatores determinantes da estratégia de alocação de ativos. Foram realizados testes estatísticos e regressões de dados em painel considerando três grupos de regressores: tamanho do banco, tipo de controle, e sua estrutura de financiamento. Os resultados sugerem que há diferenças no financiamento dos ativos entre bancos privados nacionais, estrangeiros e estatais. / [en] Several recent papers analyze the impact of foreign bank entry on the Brazilian bank market. Some of these studies assess the impact of those entrances on domestic banks` performance, on the overall credit supply, and on other variables. Other studies emphasize the credit supply and the banks` social role as financiers of the private sector. Nevertheless, no comprehensive study has aimed at identifying the determinant factors of asset allocation strategies of banks with retail activities in Brazil, and whether these factors vary according to different bank ownership control - private domestic, government, and foreign. With the objective of shedding some light on this subject, this work analyzes the financial statements of 35 banks in the time period 2000 - 2003. The sampled banks were selected from the list of the Largest 50 Banks by Total Assets (-) Intermediations, organized by The Central Bank of Brazil, with the additional criteria of having more than 5 offices in any year of the considered time period. The present work emphasizes the banks` characteristics as determinant factors of asset allocation strategies. Statistical tests and panel data analysis were run allowing for three regressor groups: bank size, ownership control, and funding structure. The results suggest there are significant differences between private domestic, government, and foreign banks in financing their assets.

Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. Equal risk contribution, the Most diversified portfolioand a modification of the Minimum variance portfolio are considered as alternatives to the mean variance model. Portfolio optimization models introduced are explained in detail and solved using the optimization algorithms Cyclical coordinate descent and Alternating direction method of multipliers. Through implementation and backtesting using a diverse set of indices representing various asset classes, the study shows that the mean variance model suffers from high turnover and sensitivity to input parameters in comparison to the modern alternatives. The sophisticated asset allocation models equal risk contribution and the most diversified portfolio do not rely on expected return as an input parameter, which is seen as an advantage, and are not affected to the same extent by the shortcomings associated with mean variance optimization. The paper concludes by discussing the findings critically and suggesting ideas for further research. / Maximering av avkastning i samband med minimering av varians, på engelska kallat Mean variance optimization, är inte optimalt ur en investerares synpunkt. Syftet med denna uppsats är att genomföra en empirisk studie av hur moderna metoder för portföljallokering adresserar de problem som är förknippade med Mean variance optimization. Mer specifikt undersöks allokeringsstrategierna Equal risk contribution, Most diversified portfolio samt en variant av Minimum variance som ersättare till Mean variance optimization. Allokeringsmetoderna beskrivs detaljerat och löses med optimeringsalgoritmerna Cyclical coordinate descent och Alternating direction method of multipliers. Genom implementering och historisk simulering med ett antal index som representerar olika tillgångsslag visar studien att Mean variance optimization innebär hög portföljomsättning och har en större känslighet för ingångsparametrar i jämförelse med de moderna alternativen. De sofistikerade allokeringsmodellerna Equal risk contribution och Most diversified portfolio bygger inte på ingångsparametern förväntad avkastning, vilket ses som en fördel, och drabbas inte i samma utsträckning av problemen associerade med Mean variance optimization. Studien avslutas med att diskutera resultatet kritiskt och ge förslag på vidare studier som bygger på den teori och det resultat som har presenterats.