论文标题
aplicaçãodomovimento brownianogeométricoparasimulaçãodeprecos deaç幕do do do do idice brasileiro de small Caps
Aplicação do Movimento Browniano Geométrico para Simulação de Preços de Ações do Índice Brasileiro de Small Caps
论文作者
论文摘要
这项工作解决了使用几何布朗动议来模拟巴西证券交易所B3（巴西，Bolsa，Balcão）中列出的股票价格。使用的数据是指2016年1月至2018年12月的价格历史。2019年的价格历史与模拟价格进行了比较。数据是使用Python编程语言从Yahoo Finance数据库中导入的，并对每个股票进行了模拟，并根据预期收益，风险和Sharpe索引对组合进行了模拟。对于具有较高回报，较低风险和较高夏普指数的投资组合而言，结果更好。
This work addressed the use of the geometric Brownian motion to simulate the prices of shares listed in the Small Caps index of the Brazilian stock exchange B3 (Brazil, Bolsa, Balcão). The data used refer to the price history from January 2016 to December 2018. The price history of 2019 was used to be compared with the simulated prices. The data was imported from the Yahoo Finance database using the Python programming language, and the simulations were performed for each stock individually, and for portfolios formed based on expected returns, risk and the Sharpe Index. The results were better for portfolios with higher returns, lower risks and higher Sharpe Indexes.
