INVESTMENTS IN TIMES OF UNCERTAINTY: FORMATION OF PORTFOLIOS USING RANDOM FOREST
DOI:
https://doi.org/10.12662/2359-618xregea.v12i1.p121-137.2023Keywords:
portfolios, machine learning, random forestAbstract
Objective: based on a systematic approach using machine learning, this research aims to propose a model of selection and allocation of assets that allows for building profitable and safe portfolios, even in times of insecurity and low predictability.
Methodology: we used the machine learning algorithm called random forest to associate the independent variables with a dependent one and learn the probability of positive returns in the month following the data collection. According to the probabilities, the stocks were allocated into long, short, or non-allocated portfolios. Finally, we allocated a share of gold, which is a protection asset much used in times of crisis and uncertainty.
Results and contributions: the study reached its goal and demonstrated being possible to build profitable and safe investment portfolios, even in times of greater uncertainty and volatility, as in 2020 due to the Covid-19 pandemic. We found that the model is effective in moments of crisis and also of greater predictability, as in the period from 2016 to 2019 when the stock exchange has an uptrend.
Relevance: the relevance of this study points to an unprecedented historical context in Brazil, where uncertainties regarding both the local and world economy have demanded advanced studies of prediction to minimize risks and contribute to results for investors. In addition, we highlight that following a short period of low Selic (2019 to 2021), the Central Bank increased the rate again, raising the interest more in profitable and safer assets than the investment in stocks.
Impact on the area: the study has a positive impact on the finance area since studies in this field promote greater stability to investors and thus better capital flow for companies, which, in turn, contribute to society and the growth of the country.
Downloads
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2023 Journal Of Management Analysis
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
AGREEMENT FOR THE CESSION OF AUTHOR’S RIGHTS
Through the present instrument, on the one hand, CENTRO UNIVERSITÁRIO CHRISTUS – UNICHRISTUS, henceforth referred to only as UNICHRISTUS, and, on the other,
1) Name _________________________________, ID number _______________________________,
2) Name _________________________________,ID number _______________________________,
3) Name _________________________________,ID number _______________________________,
4) Name _________________________________,ID number _______________________________,
5) Name _________________________________,ID number _______________________________,
henceforth referred to only as AUTHOR of the academic article whose title is ______________________________________, agree, in the best legal form, what follows:
ARTICLE FIRST – ON THE CESSION
The AUTHOR, their heirs and successors, in the terms of art. 49 of Law 9.610/98, cede the WORK for reproduction, publicizing, distribution, printing and publication by UNICHRISTUS, in any form or mean that exists or may come to exist.
Paragraph One. The aforementioned cession is non-exclusive and gratuitous, encompassing the totality of the WORK.
Paragraph Two. UNICHRISTUS may make the WORK available, in part or in total, for academic purposes, and is prohibited from altering its content, except for formal corrections that may be necessary.
Paragraph Three. The cession is valid in all countries, for versions in Portuguese or any translations to other languages, as UNICHRISTUS sees fit.
Paragraph Four. The original manuscript shall be delivered in the form indicated by UNICHRISTUS.
ARTICLE TWO – ON THE RESPONSIBILITIES
The AUTHOR declares that the WORK is theirs and is previously unpublished and is responsible for its contents and form, citations, references and other elements that compose it, having delivered it, when signing the present document, with the necessary language and methodology revision. As such, any judicial or extrajudicial measures relating to the content are of their entire responsibility.
Paragraph One. The AUTHOR declares there is no tacit prohibition attached to the publicizing of the WORK, and that it is free of any onus or impediments before Brazilian law.
Paragraph Two. Any burden relating to eviction belongs to the AUTHOR, who will also be responsible for compensating UNICHRISTUS, in case it is harmed by any judicial or extrajudicial means relating to the content of the work.
Paragraph Three. In case the work has multiple authors, they will be responsible in solidarity, except when proven otherwise.
ARTICLE THREE – ON JUDICIAL REPRESENTATION
The AUTHOR hereby constitutes UNICHRISTUS as their representative, thus authorizing it to act judicially or extra judicially on their behalf in cases relating to attacks against the WORK, be it by illegal reproduction, fraudulent edition or any form that constitutes an assault to intellectual property.
ARTICLE FOUR – FORUM
The parties hereby elect the forum of Fortaleza, in the state of Ceará, and renounce all others, as advantageous as they may be.
And because they deem the current agreement to be fair and just, the parties sign the present document in two copies.
Fortaleza, Ceará, on this ___ day of __________, 20__.
1) __________________________________________
2) __________________________________________
3) __________________________________________
4) __________________________________________
5) __________________________________________
Representing Centro Universitário Christus – UNICHRISTUS:
__________________________________________
