System identification: theory for the user
System identification: theory for the user
A heuristic algorithm for a portfolio optimization model applied to the Milan stock market
Computers and Operations Research
A model for portfolio selection with order of expected returns
Computers and Operations Research
Neural Networks: A Comprehensive Foundation
Neural Networks: A Comprehensive Foundation
Neural network-based mean-variance-skewness model for portfolio selection
Computers and Operations Research
Expert Systems with Applications: An International Journal
Expert Systems with Applications: An International Journal
An estimation model of value-at-risk portfolio under uncertainty
Fuzzy Sets and Systems
Hi-index | 12.05 |
It is well known that every investment carries a risk associated, and depending on the type of investment, it can be very risky; for instance, securities. However, Markowitz proposed a methodology to minimize the risk of a portfolio through securities diversification. The selection of the securities is a choice of the investor, who counts with several technical analyzes to estimate investment's returns and risks. This paper presents an autoregressive exogenous (ARX) predictor model to provide the risk and return of some Brazilian securities - negotiated at the Brazilian stock market, BOVESPA - to select the best portfolio, herein understood as the one with minimum expected risk. The ARX predictor succeeded in predicting expected returns and risks of the securities, which resulted in an effective portfolio. Additionally the Markowitz theory was confirmed, showing that diversification reduces the risk of a portfolio.