Matemática- Bacharelado
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Monografia Acesso embargado Ouro, Ibovespa e criptoativo: proposta de carteira segundo Markowitz(2018) Sette, Humberto Marcus LeãoThis paper has the objective of leveraging Markowitz’s Portfolio Theory in order to design a diversified investment portfolio that contains both traditional assets, such as stocks and gold, as well as alternative assets such as cryptocurrencies. Although the cryptocurrency market hasn’t achieved maturity and across the board acceptation yet, it is in continuous development and gaining increased interest and attention from both retail (individual) and institutional investors. Thus, due to the nascent and not fully comprehend nature of the cryptocurrency market, the current paper aims to verify the adequacy of adding cryptocurrency to a portfolio of traditional assets, relying on modern portfolio theory(Markowitz) tools of investment analysis in order to measure and quantify the inherent risks and appropriate asset allocation to achieve optimum risk/return results. It is a quantitative survey, based on data of daily returns of the assets in the period from July 1, 2016 to June 30, 2017, placing the portfolio obtained to the test in the immediately following period, from July 3, 2017 to 03 of July 2018, the results of which are compared to the application in Savings Account, Selic Rate and portfolio application with the same assets in an equal distribution scheme, attesting to the validity of the model in minimizing risks with optimized returns. Further research is recommended through the Techinical Analysis and Sharpe Index to facilitate decision making by the investor.