Modern portfolio theory, risk parity and applications

• Grant number: 18/19548-0
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: December 01, 2018
• End date: November 30, 2019
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Applied Probability and Statistics
• Principal Investigator: Luiz Koodi Hotta
• Grantee: Giuseppe Tinti Tomio
• Host Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
• Associated research grant: 18/04654-9 - Time series, wavelets and high dimensional data, AP.TEM

Abstract

The first objective of the project is to familiarize the student with the tools of capital and risk allocation, respectively, modern portfolio theory and risk parity. The second objective is to apply the acquired knowledge in the construction and analysis of portfolios in simulated and real data. Additionally, the student should be familiar with the financial markets and its most important tools.