Silveira, Rodrigo Lanna Franco da; Barros, Geraldo … - In: Revista de Economia e Agronegocio / Brazilian Review of … 7 (2009) 2
This study investigates the composition of maximum expected utility portfolio, considering stocks, bonds, gold, dollar and agricultural futures contract, between August of 1994 and December of 2007. From the optimal combinations of risk-return (calculated by Markowitz algorithm) and the use of a...