Stochastic evaluation of robust portfolios based on hierarchical clustering and worst-case scenarios
The objective of this paper is to present a proposal to form robust portfolios using a stochastic efficiency analysis of assets from companies in the Sao Paulo Stock Exchange, focusing on the worst market state. In order to do this, information about the market in all of its phases and information f...
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| Publicado no: | Acta Scientiarum. Technology |
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| Principais autores: | , , , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Universidade Estadual de Maringá
2017
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| Assuntos: | |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=303258119015 https://www.redalyc.org/journal/3032/303258119015/ https://www.redalyc.org/journal/3032/303258119015/html/ https://www.redalyc.org/journal/3032/303258119015/303258119015.epub https://www.redalyc.org/journal/3032/303258119015/movil https://doi.org/10.4025/actascitechnol.v39i5.30502 |
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