Portfolio E-V efficient: Bibliometrics of developments considering simulation or risk metrics with increased objective space





Portfolio E-V efficient; Optimization; Simulation; Monte Carlo; Empirical probability distribution; Risk metric; Increased objective space; Bibliometry.


Scientific production and the need for indicators that quantify it have strengthened and grown in the last decades, as well as tools that help in their measurement and the search for techniques to analyze in a temporal way, among others, the volume of publications, authors, citations and citations of references. Bibliometry is an important quantitative and statistical technique for measuring production indexes and scientific knowledge using software, keywords of interest and titles to carry out bibliometrics surveys on platforms for repositories of scientific articles, theses and books. The work aims to analyze the veracity of two assumptions about the evolution, to date, of Markowitz's theory of portfolio model E-V efficient. The first is whether there are evolutions of the model, with simulation by the Monte Carlo method, that use simulation as an end to obtain the empirical probability distribution of all the optimal results inherent to the simulation and not, by the usual method of data concentration, being just a means to obtain better results and models, to compare models or to analyze the results of the models or even to project the results of the models in holdout windows. The second is whether there are evolutions of the model using risk metrics with increased objective space, allowing the estimation of a greater number of parameters. From software for bibliometric analysis it was possible to reach the conclusion that in the analyzed theory, and in its evolution to date, the two assumptions are not true.


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How to Cite

MENDES, M. H. .; SOUZA, R. C. .; SANFINS, M. A. .; SILVA, T. E. B. de C. .; MARTINS, L. M. Portfolio E-V efficient: Bibliometrics of developments considering simulation or risk metrics with increased objective space. Research, Society and Development, [S. l.], v. 10, n. 4, p. e57310413802, 2021. DOI: 10.33448/rsd-v10i4.13802. Disponível em: https://rsdjournal.org/index.php/rsd/article/view/13802. Acesso em: 7 may. 2021.



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