Details

Autor(en) / Beteiligte

• Rotela Junior, Paulo
• Pamplona, Edson de Oliveira
• Rocha, Luiz Célio Souza
• Valerio, Victor Eduardo de Mello
• Paiva, Anderson Paulo

Titel

Stochastic portfolio optimization using efficiency evaluation

Ist Teil von

• Management decision, 2015-09, Vol.53 (8), p.1698-1713

Ort / Verlag

London: Emerald Group Publishing Limited

Erscheinungsjahr

2015

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• Purpose – The purpose of this paper is to analyze portfolios chosen using an efficiency evaluation that considers risk and uncertainty and optimizes the allocation of invested capital using the Sharpe approach. Design/methodology/approach – The portfolios comprised shares on the Sao Paulo Stock Exchange. A chance-constrained data envelopment analysis stochastic optimization model was used, and return and variance were employed as input and output variables. Findings – The model was shown to be viable. It reduced the search space and considered data randomness. Originality/value – Three portfolios were proposed. The variation of the model’s risk criterion fulfilled the requirements of investors with different attitudes to risk. The model proposed can be used as a support tool for stock investment decisions.