Operations research application to investment economic analysis

• Grant number: 15/09850-2
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: August 01, 2015
• End date: July 31, 2016
• Field of knowledge: Engineering - Production Engineering - Operational Research
• Principal Investigator: Silvia Maria Simões de Carvalho
• Grantee: Yara Verdum Santiago
• Host Institution: Centro de Ciências e Tecnologias para a Sustentabilidade (CCTS). Universidade Federal de São Carlos (UFSCAR). Sorocaba , SP, Brazil
• Associated research grant: 10/06822-4 - Efficient solution of large-scale linear and quadratic programming problems, AP.TEM

Abstract

Considering the current business environment, characterized by high competitiveness, it is essential that managers make decisions that contribute to the full financial development of the company. The investor interest in general, when mounting an investment portfolio is to maximize profit and minimize the risk of capital loss. For this to be possible, the investor needs to use a mathematical model to follow these precepts. The objective of this work is to create a portfolio of stocks drawn up on the Markowitz theory, in order to minimize the risk of the investment set at an expected return using linear programming. (AU)