Recomendação de Investimento: Analisando Carteiras com Beta e Value-at-Risk (VaR) Dinâmicos no Software R

Abstract

Context: João, junior analyst at Assert S.A., is challenged to prepare an investment recommendation report for the allocation of US$ 10 million capital in the United States in July 2018. Therefore, João will have to justify his report based on in finance theories, which are the formation of portfolios and the risk x return ratio. In addition, you will need to use reliable data sources and analysis software. Teaching goals: Understand and apply investment analysis concepts, especially formulating stock investment strategies. The case, illustrative and applied in finance, provides the script in the free software R. Thereby, it allows the analysis of the decisions taken and invites the realization of other similar exercises. Data source: The case is fictitious, but the data are real, obtained from the main financial providers worldwide. The provided script (APPENDIX) instructs the collection and processing of data in the R software, which is one of the most used in finance research. Basic prior knowledge of the tool is recommended, for which bibliographic sources are provided. Applicability: The case provides the theory and Teoria e Prática em Administração, v. 10, n. 2 , p. 169-182. 170 methodology for the analysis of stocks and indices in the global capital markets, allowing undergraduate or graduate students to experience the reality of a market analyst. The courses that typically address these contents are Capital Markets, Investment Analysis and Corporate Finance.