Tópicos em gestão de patrimônio
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Data
2023-05-04
Orientador(res)
Giovannetti, Bruno Cara
Málaga Butrón, Guillermo Roberto Tomas
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After several evolutions in the Brazilian economy, it became viable and important to direct the construction of portfolios of investments planned to reach the return objectives, enabling the asset management business. However, due to its microeconomic nature, a wealth manager, a kind of asset manager, must employ techniques to have the largest number of clients at a controlled cost with portfolio managers. The main technique for gaining scale in wealth management is the use of investment profiles to cluster clients. We show that this approximation presents a small loss of efficiency in the risk and return parameters of the portfolio in three different scenarios: bull market, bear market and oscillation market. Despite this loss of efficiency causes a drop in demand, a small additional return compensates this approximation and returns demand to the original level. Next, we present two techniques used by wealth managers to obtain this additional return: investments in equity funds with longer redemption terms and tactical movements. Both present an additional return capable of offsetting the drop in demand for the use of investment profiles. Finally, we developed two quadratic programming models for portfolio optimization in order to unite the two aforementioned techniques. Optimization with a liquity restriction allowed the use of both techniques, but with a result very close to the tactical movements technique. By introducing a risk-reducing asset, we show an excellent technique for using funds with a longer redemption period and still maintaining the typical agility of tactical movements, with a result that outperforms other techniques.