Quando é ótimo sair de uma estratégia de investimentos?

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Pinto, Afonso de Campos
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The present dissertation is focused on finding optimal stop-loss and stop-gain parameters which maximize a given expected discounted return function, assuming a financial instrument governed by an Ito Diffusion, which can be a Geometric Brownian Motion, a Ornstein-Uhlenbeck process with mean-reversion or a process with Gaussian Mixtures. We apply this methodology for financial data of a single stock (PETR4) and for a Long and Short pair (BBDC3 and BBDC4). For each of them, we will compare a parametric approach based on Monte Carlo simulation and a non-parametric, model-free approach based on bootstrapping.

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