PROJETO DE EXPERIMENTOS DE MISTURAS GENERALIZADO PARA OTIMIZAÇÃO DE PORTFÓLIOS

Autores

  • Pedro Jose Papandrea Brasil Educação S/A
  • Anderson Paulo de Paiva Universidade Federal de Itajubá https://orcid.org/0000-0002-8199-411X
  • Rafael Coradi Leme Universidade Federal de Itajubá
  • Xueping Li The University of Tennessee, Knoxville

Palavras-chave:

Otimização, Portifólio, DOE, MDE, Experimento de Misturas

Resumo

Uma das principais preocupações no que se refere a investimentos é a análise de portfólio. Na seleção de uma carteira, o analista deve estar atento à presença de parâmetros de erros de nas suas estimações. Com efeito, tais erros podem levar a um mau desempenho da carteira. A literatura propõe muitas abordagens para analisar as carteiras; uma alternativa interessante foi proposta por Oliveira e seus colegas: design de experimentos com misturas. Este trabalho generaliza a filosofia de projetos de experimentos na análise de portfólio e explora o poder dos projetos experimentais para lidar com os erros de parâmetro estimativos. A abordagem proposta neste artigo conecta - via função desirability – a tradicional teoria de portfólios média-variância com a otimização multi-objetivo. A abordagem lida com erros na estimação de parâmetros e permite que o analista se envolva em um processo de tomada de decisão robusta.

Biografia do Autor

  • Anderson Paulo de Paiva, Universidade Federal de Itajubá

    Professor Associado III da Universidade Federal de Itajubá (UNIFEI/IEPG). Possui graduação em Engenharia Mecânica, mestrado em Engenharia de Produção e doutorado em Engenharia Mecânica (Unifei). Atua na área de Projeto e Análise de Experimentos, Estatística Multivariada e Métodos de Otimização. Linha de Pesquisa principal: Otimização de Processos de Manufatura. ORCID: https://orcid.org/0000-0002-8199-411X Scopus (https://www.scopus.com/authid/detail.uri?authorId=16176142300)

  • Rafael Coradi Leme, Universidade Federal de Itajubá

    Professor Associado do Instituto de Produção e Gestão na Universidade Federal de Itajubá. Possui graduação (2003), mestrado (2005) e doutorado (2008) em Engenharia Elétrica pela Universidade Federal de Itajubá. Pesquisador na área de Otimização, Séries Temporais e Processos Estocásticos, também tem expertise na área de Sistemas Elétricos de Potência. Foi pesquisador visitante na Universidade do Texas em Austin entre 2006 e 2007, onde desenvolveu trabalhos na área de pesquisa operacional e modelagem estocástica. Também foi pesquisador visitante na University of Strathclyde em Glasgow (Escócia) durante o ano de 2008 e Professor Visitante na University of Tennessee at Knoxville entre 2014 e 2015.

  • Xueping Li, The University of Tennessee, Knoxville

    Xueping Li is a Professor of Industrial and Systems Engineering and the Director of the Ideation Laboratory (iLab) and co-Director of the Health Innovation Technology and Simulation (HITS) Lab at the University of Tennessee - Knoxville. He holds a Ph.D. from Arizona State University. His research areas include complex system modeling, simulation and optimization, information assurance, scheduling, supply chain management, data analytics, and health systems engineering. He is a member of IIE, IEEE, ASEE and INFORMS.

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Arquivos adicionais

Publicado

2020-03-31

Edição

v. 1 n. 1 (2020): JOURNAL OF OPEN RESEARCH

Seção

Artigos

Como Citar

PROJETO DE EXPERIMENTOS DE MISTURAS GENERALIZADO PARA OTIMIZAÇÃO DE PORTFÓLIOS. (2020). Journal of Open Research, 1(1), e6. https://journals.stellata.com.br/jor/article/view/6