Framework to assist investment portfolio generation for financial sector

Bibliographic Details
Main Author: do Carmo, Breno Barros Telles
Publication Date: 2023
Other Authors: de Medeiros, Pablo Picasso Morais, Gonçalo, Thomas Edson Espíndola, Correia, Gabriela Colaço
Format: Article
Language: eng
Source: Revista e-xacta
Download full: https://periodicos.uninove.br/exacta/article/view/18687
Summary: Several variables are influencing the financial performance of listed companies in the stock exchange, making the choice of an ideal investment portfolio complex. Multicriteria decision support methods emerge as a potential tool to support the investor in the asset selection process. Thus, this paper proposes a framework to assist investors in generating an investment portfolio in financial sector companies considering the fundamentalist analysis approach. Based on selected investors, the study defined the appropriate minimum performance filters, criteria, and weights for stock selection in the financial sector. The portfolio was established based on investor constraints using the PROMETHEE V method. As a subsequent step, an entire linear programming model was implemented to define, given the available budget, the amount of capital to be allocated to each asset of the portfolio. Compared to other publications, the proposed model and assembling the stocks portfolio proposes capital allocation based on previously defined restrictions. Also, the research provides investors with a clear and accurate method for selecting a stock portfolio and allowing customization of the model.
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spelling Framework to assist investment portfolio generation for financial sectorFramework para auxiliar na geração de portfólio de ações de empresas do setor financeiroStocksFundamentalist analysisMulticriteria methodsPROMETHEE VAçõesmodelo multicritérioanálise fundamentalistaPROMETHEE Vprogramação linearSeveral variables are influencing the financial performance of listed companies in the stock exchange, making the choice of an ideal investment portfolio complex. Multicriteria decision support methods emerge as a potential tool to support the investor in the asset selection process. Thus, this paper proposes a framework to assist investors in generating an investment portfolio in financial sector companies considering the fundamentalist analysis approach. Based on selected investors, the study defined the appropriate minimum performance filters, criteria, and weights for stock selection in the financial sector. The portfolio was established based on investor constraints using the PROMETHEE V method. As a subsequent step, an entire linear programming model was implemented to define, given the available budget, the amount of capital to be allocated to each asset of the portfolio. Compared to other publications, the proposed model and assembling the stocks portfolio proposes capital allocation based on previously defined restrictions. Also, the research provides investors with a clear and accurate method for selecting a stock portfolio and allowing customization of the model. O presente trabalho estabelece, na condição de estudo de caso, uma carteira de ações do setor financeiro entre as empresas listadas na bolsa de valores de São Paulo-SP. O portfólio proposto contém 05 ativos, que em uma primeira etapa deveriam atender aos seguintes critérios de desempenho: indicador “preço sobre o lucro” mínimo de 15; e “retorno sobre o patrimônio líquido” mínimo de 10,5% a.a. Posteriormente foram utilizados outros 8 critérios para seleção final do portfólio.  O dividend yield médio foi de 7,388%, sendo o risco (beta) médio de 0,994. O presente estudo propõe um framework para auxiliar investidores na geração de um portfólio de investimento em ações de empresas do setor financeiro, utilizando para isso um método multicritério de apoio à decisão aliado a indicadores da análise fundamentalista. Os mecanismos de seleção de portfólio disponibilizados de forma gratuita por corretoras e casas de análise não demonstram claramente aos investidores o método utilizado para composição de suas carteiras indicadas. Em virtude disso, investidores carecem de uma ferramenta que apresente um método científico e exato para auxiliá-los na escolha de ações para composição de um portfólio. Os métodos multicritério de apoio à decisão possuem potencial para subsidiar o investidor nesse processo. Neste artigo, utilizou-se o método Delphi para definir, junto à investidores selecionados, os filtros de desempenho mínimo, critérios e pesos adequados para composição de um portfólio de ações do segmento financeiro. A agregação dos resultados se deu por meio do método PROMETHEE V. Como etapa posterior, foi implementado um modelo de programação linear inteira para definir a participação percentual de cada ativo no capital total da carteira. Universidade Nove de Julho - UNINOVE2023-06-12info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://periodicos.uninove.br/exacta/article/view/1868710.5585/exactaep.2021.18687Exacta; v. 21 n. 2 (2023): (abr./jun.); 337-3651983-93081678-5428reponame:Revista e-xactainstname:Centro Universitário de Belo Horizonte (UNIBH)instacron:UNIBHenghttps://periodicos.uninove.br/exacta/article/view/18687/10232Copyright (c) 2021 Dos autoresinfo:eu-repo/semantics/openAccessdo Carmo, Breno Barros Tellesde Medeiros, Pablo Picasso MoraisGonçalo, Thomas Edson EspíndolaCorreia, Gabriela Colaço2023-06-12T22:31:23Zoai:ojs.periodicos.uninove.br:article/18687Revistahttps://revistas.unibh.br/dcet/PUBhttps://revistas.unibh.br/dcet/oaiexacta@unibh.br||periodicosdeminas@gmail.com1984-31511984-3151opendoar:2023-06-12T22:31:23Revista e-xacta - Centro Universitário de Belo Horizonte (UNIBH)false
dc.title.none.fl_str_mv Framework to assist investment portfolio generation for financial sector
Framework para auxiliar na geração de portfólio de ações de empresas do setor financeiro
title Framework to assist investment portfolio generation for financial sector
spellingShingle Framework to assist investment portfolio generation for financial sector
do Carmo, Breno Barros Telles
Stocks
Fundamentalist analysis
Multicriteria methods
PROMETHEE V
Ações
modelo multicritério
análise fundamentalista
PROMETHEE V
programação linear
title_short Framework to assist investment portfolio generation for financial sector
title_full Framework to assist investment portfolio generation for financial sector
title_fullStr Framework to assist investment portfolio generation for financial sector
title_full_unstemmed Framework to assist investment portfolio generation for financial sector
title_sort Framework to assist investment portfolio generation for financial sector
author do Carmo, Breno Barros Telles
author_facet do Carmo, Breno Barros Telles
de Medeiros, Pablo Picasso Morais
Gonçalo, Thomas Edson Espíndola
Correia, Gabriela Colaço
author_role author
author2 de Medeiros, Pablo Picasso Morais
Gonçalo, Thomas Edson Espíndola
Correia, Gabriela Colaço
author2_role author
author
author
dc.contributor.author.fl_str_mv do Carmo, Breno Barros Telles
de Medeiros, Pablo Picasso Morais
Gonçalo, Thomas Edson Espíndola
Correia, Gabriela Colaço
dc.subject.por.fl_str_mv Stocks
Fundamentalist analysis
Multicriteria methods
PROMETHEE V
Ações
modelo multicritério
análise fundamentalista
PROMETHEE V
programação linear
topic Stocks
Fundamentalist analysis
Multicriteria methods
PROMETHEE V
Ações
modelo multicritério
análise fundamentalista
PROMETHEE V
programação linear
description Several variables are influencing the financial performance of listed companies in the stock exchange, making the choice of an ideal investment portfolio complex. Multicriteria decision support methods emerge as a potential tool to support the investor in the asset selection process. Thus, this paper proposes a framework to assist investors in generating an investment portfolio in financial sector companies considering the fundamentalist analysis approach. Based on selected investors, the study defined the appropriate minimum performance filters, criteria, and weights for stock selection in the financial sector. The portfolio was established based on investor constraints using the PROMETHEE V method. As a subsequent step, an entire linear programming model was implemented to define, given the available budget, the amount of capital to be allocated to each asset of the portfolio. Compared to other publications, the proposed model and assembling the stocks portfolio proposes capital allocation based on previously defined restrictions. Also, the research provides investors with a clear and accurate method for selecting a stock portfolio and allowing customization of the model.
publishDate 2023
dc.date.none.fl_str_mv 2023-06-12
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://periodicos.uninove.br/exacta/article/view/18687
10.5585/exactaep.2021.18687
url https://periodicos.uninove.br/exacta/article/view/18687
identifier_str_mv 10.5585/exactaep.2021.18687
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://periodicos.uninove.br/exacta/article/view/18687/10232
dc.rights.driver.fl_str_mv Copyright (c) 2021 Dos autores
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2021 Dos autores
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Nove de Julho - UNINOVE
publisher.none.fl_str_mv Universidade Nove de Julho - UNINOVE
dc.source.none.fl_str_mv Exacta; v. 21 n. 2 (2023): (abr./jun.); 337-365
1983-9308
1678-5428
reponame:Revista e-xacta
instname:Centro Universitário de Belo Horizonte (UNIBH)
instacron:UNIBH
instname_str Centro Universitário de Belo Horizonte (UNIBH)
instacron_str UNIBH
institution UNIBH
reponame_str Revista e-xacta
collection Revista e-xacta
repository.name.fl_str_mv Revista e-xacta - Centro Universitário de Belo Horizonte (UNIBH)
repository.mail.fl_str_mv exacta@unibh.br||periodicosdeminas@gmail.com
_version_ 1853482920861237248

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