2022/08/16 by O. P. Ferreira, Ferreira, Orizon P., Guilherme. A. França +3
Decision Sciences · Economics, Econometrics and Finance · #Business and Management Studies #FOS: Mathematics #Finance, Markets, and Regulation #Optimization and Control (math.OC)
paper · pdf · doi:10.48550/arxiv.2208.07909
openalex publication_date 2022/08/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this work, we introduce Modern Portfolio Theory using basic concepts from linear algebra, differential calculus, statistics, and optimization. This theory allows us to measure the return and risk of an investment portfolio, serving as a basis for decision-making in the financial market. As an application, we will present four very simple investment strategies that aim to minimize the risk of investing in only two assets, outperforming the CDI (Interbank Deposit Certificate) yield.