Otimizaçao de Carteira com Markowitz

Leandro Guerra - Outspoken Market

Retornos dos ativos da carteira Ativo livre de risco

PETR4 ITUB4 BBDC4 Selic
2014 -36.30% 23.79% 24.56% 10.96%
2015 -32.99% -12.90% -30.85% 13.47%
2016 121.18% 49.07% 72.77% 14.18%
2017 8.31% 29.61% 32.53% 10.11%
2018 45.90% 32.43% 28.77% 6.58%
2019 7.09% 3.14% 40.61% 3.73%

Media dos
retornos 18.87% 20.86% 28.07% 9.84%

Retorno da Carteira 15.00%

Alocaçao otima da carteira

PETR4 0%
ITUB4 10%
BBDC4 22%
Selic 68%
Total 100%
 Matriz de covariancia
PETR4 ITUB4 BBDC4 Selic
PETR4 3.44E-01 9.81E-02 1.53E-01 3.50E-03
ITUB4 9.81E-02 4.94E-02 6.13E-02 3.50E-03
BBDC4 1.53E-01 6.13E-02 1.13E-01 3.50E-03
Selic 3.50E-03 1.52E-03 -2.03E-03 3.50E-03
Variancias 0.00E+00 2.04E-03 6.60E-03 2.37E-03
Variancia da Carteira 1.10E-02
 Legenda e guia de uso
Valores para mudança no Solver
Valor para minimizaçao
Restriçoes (Constraints)
 9.52%
-70.65%
503.70%
510.43%
126.33%
67.98%