OS IMPACTOS DA CRISE FINANCEIRA DE 2008 NA COMPOSIÇÃO DE ATIVOS DOS FUNDOS DE INVESTIMENTO NO BRASIL

• Ano de defesa: 2013
• Autor(a) principal: Oliveira, Marcos Garrido de
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Programa de Pós-graduação em Sistemas de Gestão; Segurança do Trabalho, Meio-ambiente, Gestão pela Qualidade Total
• Palavras-chave em Português: Análise Multivariada de Dados. Análise de Agrupamentos. Crise Financeira. Fundo de Investimento. Renda Fixa.; Multivariate Data Analysis. Cluster Analysis. Investment Fund. Financial Crisis. Fixed Income.; CNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAO
• Link de acesso: https://app.uff.br/riuff/handle/1/20494

The aim of this study was to evaluate how the 2008 financial crisis influenced the decisions of the managers for asset composition (strategies) in the Brazilian fixed income investment funds, given the post-crisis measures adopted by the Brazilian economic authorities. For this, funds of type fixed income Anbima were selected , and through multivariate technique, Cluster Analysis divided into three procedures (agglomerative hierarchical, non-hierarchical K-means and non-hierarchical Partitioning Around Medoids), applied in portfolios of these funds, that has been generated a representative sample of category from June 2008 to December 2011. By this analysis 14 (fourteen) strategies used by managers were identified, considering the same type Anbima. In addition, an algorithm, written in Portugol, was created to assist managers in evaluating and decision-making to portfolio composition.