Econofísica, análise de agrupamentos e seleções de carteira pelo modelo de Markowitz

• Ano de defesa: 2024
• Autor(a) principal: Rodrigues, Bruna Mancilha Oliveira
• Orientador(a): Melo, Cássius Anderson Miquele De
• Banca de defesa: Passini, Marcos De Mendonça, Oliveira, Marcelo Martins De
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Alfenas
• Programa de Pós-Graduação: Programa de Pós-graduação em Física
• Departamento: Instituto de Ciência e Tecnologia
• País: Brasil
• Palavras-chave em Português: Agrupamento hierárquico; Agrupamento não hierárquico; Teoria Eficiente de Markowitz; Seleção de carteiras; Carteira ótima
• Área do conhecimento CNPq: FISICA::FISICA DAS PARTICULAS ELEMENTARES E CAMPOS
• Link de acesso: https://repositorio.unifal-mg.edu.br/handle/123456789/2428

Due to the large number of assets currently available on the market, building an optimal portfolio has become a complex task. With computational evolution, advances and facilities regarding data analysis in different areas, it is possible to perceive the need for exploratory techniques and adequate interpretation to obtain information, mainly for making optimal decisions, in a way that enables efficient management. Within this scenario, the analysis and resolution of the portfolio selection problem using econophysics techniques was proposed. This dissertation is an algorithm for selecting portfolios and assisting in the decision-making process. The study will be carried out on the application of Cluster analysis combined with Markowitz Efficient Frontier, to assist in understanding asset allocation, and in search of providing a solid investment strategy. In addition, to find the results, a mathematical model was built based on programming in Python. The present study seeks to evaluate whether the model can be another significant tool to assist in portfolio management.