Otimização de carteira de investimento com a teoria de portfólio de Markowitz utilizando a linguagem de programação Python

Abstract

The present work presents the development of a methodology for optimization of investment portfolios using the Python programming language, based on Harry Markowitz's Portfolio Theory (1952). Based on static analyses and observations, there was an increase in the number of individuals registered on the main Stock Exchange in Brazil, B3, which shows a growing interest on the part of the population in investments. In this way, the project arises from the attempt to provide a simplification of the act of investing by enabling the optimization of investment portfolios in an accessible and practical way for investors and financial market professionals. It contains conceptualizations of risk and Markowitz's Theory in its first section. In the second section, the feasibility analysis of the product is presented, moving on to prototyping, with its specific requirements and arrangement of the Data Flow and Use Case diagram, the technologies used for the development of the methodology, including Python, Pandas, Numpy, Plotly, YFinance, Flask and PyPortfolioOpt, the product functionalities and the data analysis of the input and output files. Also in this section, the methodological nature of the work is arranged, showing the exploratory and evaluative research techniques that permeated the testing stage of the same, the commercialization model of the product to implement it in the market and possible direct and indirect competitors. In the third section, the results of the application and the data and assets considered are exposed, with a survey directed to the target audience. And, finally, in the fourth section, there are the considerations of the tool, about which it can be stated that it fulfilled the initial objective of the project and showed a real and potential possibility of visualization of portfolios and their respective risks, enabling insights for the investment area and proving the potential of the Python tool as a technology.