risk. Given the above, this paper presents a model of efficient portfolio optimization based on Markowitz´s theory, using … EWMA methodology for the calculation of portfolio risk. …

proportional to individual risk (PIR) in comparison with the classical mean-variance (MV), minimum variance (MINVAR) and 1/N … that the PIR strategy outperforms classical strategies in terms of profitability indicators, risk, Sharpe ratio, Turnover …