A aplicabilidade da programação linear na optimização de carteiras de investimentos em segurança social

Abstract

The aim of the present work is to show the applicability of Mathematical Programming, specifically linear programming, in the optimization of an investment portfolio, so that it generates the highest expected performance possible, using the Microsoft Office Excel solver tool, applied to a situation. For this purpose, the optimum portfolios were determined based on the deficiencies observed in the National Social Security Institute during the year 2017. The work is limited to the presentation and analysis of this model and not to the comparison with other existing theoretical models. Fromthe data, three investor profiles (conservative, moderate and aggressive) were designed to simulate the problem under analysis. With the application of the model, the following yields were obtained: 19.93% for the conservative profile, 20.20% for the moderate profile and 21.25% for the aggressive profile. The aggressive investor profile proved to be more profitable in that it outperformed the other profiles, despite the fact that it is investing most of the investments in medium and high-riskassets. It was concluded with the work that linear programming can serve as an auxiliary tool in the decision-making process in the composition and formation of an investment portfolio. The use of this tool enables investors with little knowledge of Modern Portfolio Theory to apply it in practice without major difficulties. However, it does not exempt investors from assessing other macroeconomic factors affecting the market