文章基本信息

标题：LINEAR PROGRAMMING APPLIED TO FINANCE - BUILDING A GREAT PORTFOLIO INVESTMENT
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作者：Pedro Marinho Sizenando Silva ; Bruno César Melo Moreira ; Gleison de Almeida Francisco 等
期刊名称：Revista de Gestão, Finanças e Contabilidade
印刷版ISSN：2238-5320
出版年度：2014
卷号：4
期号：1
页码：107-124
语种：
出版社：University of State of Bahia
摘要：The stock market has grown steadily in recent years, and several indices have also been created in this market, like IGC, ISE and IBOVESPA. Thinking about this market growth, this paper aims to build an optimal portfolio using linear programming, based on companies simultaneously present in the indices: IGC and ISE. The constraints of the problem will be based on indicators of IBOVESPA. The model will be created to meet the restrictions set and to maximize the portfolio return, always comparing with the return of IBOVESPA, with a time horizon from 2007 until 2012. As results, the developed model was capable to provide better returns in fourteen of the twenty two periods under consideration. Besides, the average return considering all the periods was 0,03404 for the proposed model and -0,02086 for the IBOVESPA portfolio.