{"id":1287,"date":"2021-01-16T14:15:54","date_gmt":"2021-01-16T16:15:54","guid":{"rendered":"https:\/\/sbia.org.br\/lnlm\/?page_id=1287"},"modified":"2021-10-19T15:32:48","modified_gmt":"2021-10-19T15:32:48","slug":"vol18-no1-art5","status":"publish","type":"page","link":"https:\/\/sbia.org.br\/lnlm\/publicacoes\/vol18-no1\/vol18-no1-art5\/","title":{"rendered":"Carteiras de Black Litterman com An\u00e1lises Baseadas em Redes Neurais"},"content":{"rendered":"<p><strong><span style=\"font-size: small\"><br \/>\nBernardes, D. G., Costa, O.L.V. <a href=\"http:\/\/orcid.org\/0000-0002-0875-8698\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1167\" src=\"https:\/\/sbia.org.br\/lnlm\/wp-content\/uploads\/sites\/4\/2020\/09\/orcid.jpg\" alt=\"orcid\" width=\"20\" height=\"20\" \/><\/a><\/span><\/strong><\/p>\n<p>&nbsp;<\/p>\n<p><strong>Resumo:<\/strong> Este artigo apresenta um sistema aut\u00f4nomo de gest\u00e3o de carteiras. Sistemas aut\u00f4nomos de investimento consistem de regras para compra e venda de ativos no mercado financeiro que podem ser executadas por m\u00e1quinas, com o objetivo de maximizar o retorno do investidor. O sistema utiliza Redes Neurais Artificiais para monitoramento do mercado e o modelo de Black-Litterman para otimiza\u00e7\u00e3o da aloca\u00e7\u00e3o de patrim\u00f4nio. O sistema analisa as dez a\u00e7\u00f5es mais negociadas do \u00edndice Bovespa, com redes neurais dedicadas a cada a\u00e7\u00e3o, e prev\u00ea estimativas de varia\u00e7\u00f5es de pre\u00e7os para um dia no futuro a partir de indicadores da an\u00e1lise t\u00e9cnica. As estimativas das redes s\u00e3o ent\u00e3o inseridas em um otimizador de carteiras, que utiliza o modelo de Black-Litterman, baseado em infer\u00eancia Bayesiana, para compor carteiras di\u00e1rias que empregam a estrat\u00e9gia <em>Long and Short<\/em>. Os resultados obtidos s\u00e3o comparados a um segundo sistema de trading aut\u00f4nomo, denominado Benchmark, sem o emprego da otimiza\u00e7\u00e3o de carteiras. Foram observados resultados com \u00f3timo \u00edndice de Sharpe do modelo proposto em compara\u00e7\u00e3o ao Benchmark. Tais resultados sugerem que a utiliza\u00e7\u00e3o de modelos de infer\u00eancia bayesiana combinados com redes neurais podem ser uma boa alternativa na gest\u00e3o de carteiras.<\/p>\n<p><strong>Palavras-chave<\/strong><strong>: <\/strong>Otimiza\u00e7\u00e3o de Carteiras, Modelo de Black Litterman, Infer\u00eancia Bayesiana, Redes Neurais Artificiais, Perceptron Multi Camadas, Hedge.<\/p>\n<p>&nbsp;<\/p>\n<p><strong>Abstract<\/strong><strong>: <\/strong>This paper presents an autonomous portfolio management system. Autonomous investment systems consists of a serie of buy and sell rules on financial markets, which can be executed by machines, oriented to maximizing investor gains. The system uses a Neural Network approach for monitoring the market and the Black-Litterman model for portfolio composition. The ten most traded assets from the Bovespa Index are analyzed, with dedicated neural networks, which suggests future return estimates using technical indicators as input. Those estimates are inserted in the Black-Litterman model which proposes daily portfolio composition using long and short positions. The results are compared to a second autonomous trading system without the Black-Litterman approach, referred to as Benchmark. The numerical results show a great performance compared to the Benchmark, specially the risk-return ratio, captured by the Sharpe Index. Such results suggest that the use of Bayesian inference models combined with neural networks may be a good alternative in portfolio management.<\/p>\n<p><strong>Keywords<\/strong><strong>: <\/strong>Portfolio Optimization, Black-Litterman Model, Bayesian Inference, Artificial Neural Networks, MultiLayer Perceptron, Hedging strategies.<\/p>\n<p><strong>DOI code:<\/strong> <a href=\"http:\/\/dx.doi.org\/10.21528\/lnlm-vol18-no1-art5\">10.21528\/lnlm-vol18-no1-art5<\/a><\/p>\n<p><strong>PDF file:<\/strong> <a href=\"https:\/\/sbia.org.br\/lnlm\/wp-content\/uploads\/sites\/4\/2021\/01\/vol18-no1-art5.pdf\">vol18-no1-art5.pdf<\/a><\/p>\n<p><strong>BibTex file:<\/strong> <a href=\"https:\/\/sbia.org.br\/lnlm\/wp-content\/uploads\/sites\/4\/2021\/01\/vol18-no1-art5.bib\">vol18-no1-art5.bib<\/a><\/p>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Bernardes, D. G., Costa, O.L.V. &nbsp; Resumo: Este artigo apresenta um sistema aut\u00f4nomo de gest\u00e3o de carteiras. Sistemas aut\u00f4nomos de investimento consistem de regras para compra e venda de ativos no mercado financeiro que podem ser executadas por m\u00e1quinas, com <a href=\"https:\/\/sbia.org.br\/lnlm\/publicacoes\/vol18-no1\/vol18-no1-art5\/\" class=\"read-more\">Read More &#8230;<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"parent":1232,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-1287","page","type-page","status-publish","hentry"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v26.9 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Carteiras de Black Litterman com An\u00e1lises Baseadas em Redes Neurais - Learning and NonLinear Models<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/sbia.org.br\/lnlm\/publicacoes\/vol18-no1\/vol18-no1-art5\/\" \/>\n<meta property=\"og:locale\" content=\"pt_BR\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Carteiras de Black Litterman com An\u00e1lises Baseadas em Redes Neurais - Learning and NonLinear Models\" \/>\n<meta property=\"og:description\" content=\"Bernardes, D. 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