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Uso Da Análise De Componentes Principais Para A Criação De Clusters Como Mecanismo De Diversificação De Carteira De Ativos Do Setor Agroindustrial

Author

Listed:
  • Kamogawa, Luiz Fernando Ohara
  • FONSECA, RICARDO MENDONÇA
  • CRUZ, JOSÉ CÉSAR Jr
  • OZAKI, VITOR AUGUSTO

Abstract

O presente trabalho teve como objetivo a criação de clusters de comportamento de ativos relacionados à agroindústria (derivativos agropecuários e ações BOVESPA) baseados na análise de componentes principais; utilizando este resultado como ferramental de tomada de decisão na construção de carteiras de investimento. Isso, baseado no princípio que a redução da volatilidade da carteira via diversificação depende da baixa covariância entre eles, ou seja, que os ativos pertençam a diferentes clusters.

Suggested Citation

  • Kamogawa, Luiz Fernando Ohara & FONSECA, RICARDO MENDONÇA & CRUZ, JOSÉ CÉSAR Jr & OZAKI, VITOR AUGUSTO, 2006. "Uso Da Análise De Componentes Principais Para A Criação De Clusters Como Mecanismo De Diversificação De Carteira De Ativos Do Setor Agroindustrial," 44th Congress, July 23-27, 2006, Fortaleza, Ceará, Brazil 148309, Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER).
    • Handle: RePEc:ags:sobr06:148309
    DOI: 10.22004/ag.econ.148309
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    Keywords

    Agribusiness; Agricultural and Food Policy;

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